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Combining momentum with reversal in commodity futures
Bianchi, Robert; Drew, Michael E.; Fan, John Hua - In: Journal of banking & finance 59 (2015), pp. 423-444
Persistent link: https://www.econbiz.de/10011544644
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Multi-Asset Seasonality and Trend-Following Strategies
Baltas, Nick - 2016
This paper investigates the seasonality patterns within various asset classes. We find that a strategy that buys the assets with the largest same-calendar-month past average returns (up to ten years) and sells the assets with the smallest same-calendar-month past average returns, earns...
Persistent link: https://www.econbiz.de/10013002295
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Understanding momentum in commodity markets
Chevallier, Julien; Gatumel, Mathieu; Ielpo, Florian - In: Applied economics letters 20 (2013) 13/15, pp. 1383-1402
Persistent link: https://www.econbiz.de/10010203400
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A trend factor in commodity futures markets : any economic gains from using information over investment horizons?
Han, Yufeng; Kong, Lingfei - In: The journal of futures markets 42 (2022) 5, pp. 803-822
Persistent link: https://www.econbiz.de/10013187602
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The alpha momentum effect in commodity markets
Zaremba, Adam; Mikutowski, Mateusz; Szczygielski, Jan Jakub - In: Energy economics 93 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012643310
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Commodities returns' volatility in financialization era
Handika, Rangga; Putra, Iswahyudi Sondi - In: Studies in economics and finance 34 (2017) 3, pp. 344-362
Persistent link: https://www.econbiz.de/10011961063
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The effectiveness of incorporating higher moments in portfolio strategies : evidence from the Chinese commodity futures markets
Liu, Qingfu; Jiang, Pan; An, Yunbi; Cheung, Keith C. K. - In: Quantitative finance 20 (2020) 4, pp. 653-668
Persistent link: https://www.econbiz.de/10012194912
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Portfolio management of commodity trading advisors with volatility-targeting
Molyboga, Marat - In: The journal of investment strategies 8 (2019) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10012426117
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Factor based commodity investing
Sakkas, Athanasios; Tessaromatis, Nikolaos P. - In: Journal of banking & finance 115 (2020), pp. 1-19
Persistent link: https://www.econbiz.de/10012489156
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Memory-enhanced momentum in commodity futures markets
Mehlitz, Julia S.; Auer, Benjamin R. - In: The European journal of finance 30 (2024) 8, pp. 773-802
Persistent link: https://www.econbiz.de/10014547998