Paschke, Raphael, Prokopczuk, Marcel and Wese Simen, Chardin 
ORCID: 0000-0003-4119-3024
(2020)
Curve momentum.
Journal of Banking & Finance, 113.
p. 105718.
ISSN 0378-4266
|
Text
New_Curve_Oct_2017.pdf - Author Accepted Manuscript Download (824kB) | Preview |
Abstract
We propose a momentum strategy that operates within commodity futures curves. The diversified curve momentum strategy generates a significantly positive average excess return and a (annualized) Sharpe ratio of 1.28. The profitability of the strategy has increased markedly in the more recent years. These excess returns are difficult to reconcile with risk based explanations, as evidenced by the significantly positive alpha after controlling for exposure to several well-known risk factors. The average excess return on the diversified curve momentum strategy remains significantly positive even after accounting for transaction costs.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | 3502 Banking, Finance and Investment, 35 Commerce, Management, Tourism and Services, Prevention |
| Depositing User: | Symplectic Admin |
| Date Deposited: | 19 Dec 2019 16:30 |
| Last Modified: | 06 Dec 2024 22:25 |
| DOI: | 10.1016/j.jbankfin.2019.105718 |
| Related URLs: | |
| URI: | https://livrepository.liverpool.ac.uk/id/eprint/3067111 |
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