“Time series momentum” in commodity markets
Abstract
Purpose
The purpose of this paper is to contain an empirical application of the concept of “time series momentum” – as developed by Moskowitz et al. (2012) – to commodity markets with daily data during 1995-2012.
Design/methodology/approach
The paper applies the new concept of “time series momentum” to the sphere of commodity markets.
Findings
The paper extends the results previously obtained by Moskowitz et al. (2012) to a second category labeled “breakout strategy.”
Research limitations/implications
Further management strategies can be elaborated for investment management purposes, based on the suggested inclusion of the “time series momentum” in commodities.
Practical implications
The empirical evidence gathered in this paper bears practical significance for portfolio managers and commodity tradings advisors relying on trend following strategies.
Originality/value
Commodity markets are quickly developing to an alternative asset class for investors. Discovering their properties and characteristics has a broad appeal in finance.
Keywords
Acknowledgements
JEL Classifications — C32; C58; G10; Q02
Citation
Chevallier, J. and Ielpo, F. (2014), "“Time series momentum” in commodity markets", Managerial Finance, Vol. 40 No. 7, pp. 662-680. https://doi.org/10.1108/MF-11-2013-0322
Publisher
:Emerald Group Publishing Limited
Copyright © 2014, Emerald Group Publishing Limited