Emerging market hedge funds are an asset class which does not seem to outperform the market benchmarks although a significant amount of the funds show superior performance. In this study, we examine whether funds selected on their geographical focus are able beat their benchmarks, and show...

This paper examines the profitability and diversification benefits of momentum strategies in commodity futures markets. The results indicate that momentum strategies on the Goldman Sachs Commodity Index (GSCI) futures provide positive abnormal returns for short and intermediate time horizons....