Chevallier, Julien; Ielpo, Florian - In: Managerial Finance 40 (2014) 7, pp. 662-680
” – as developed by Moskowitz et al. (2012) – to commodity markets with daily data during 1995-2012. Design …/methodology/approach – The paper applies the new concept of “time series momentum” to the sphere of commodity markets. Findings – The paper … strategies. Originality/value – Commodity markets are quickly developing to an alternative asset class for investors. Discovering …