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Curve momentum

Paschke, R., Prokopczuk, M. and Simen, C. W. (2019) Curve momentum. Journal of Banking & Finance. ISSN 0378-4266 (In Press)

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To link to this item DOI: 10.1016/j.jbankfin.2019.105718

Abstract/Summary

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
Refereed:Yes
Divisions:Henley Business School > ICMA Centre
ID Code:87795
Publisher:Elsevier

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