Curve momentumPaschke, R., Prokopczuk, M. and Wese Simen, C. (2020) Curve momentum. Journal of Banking & Finance, 113. 105718. ISSN 0378-4266
It is advisable to refer to the publisher's version if you intend to cite from this work. See Guidance on citing. To link to this item DOI: 10.1016/j.jbankfin.2019.105718 Abstract/SummaryWe 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.
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