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“Time series momentum” in commodity markets

Julien Chevallier (IPAG Business School (IPAG Lab), Paris, France)
Florian Ielpo (Lombard Odier Asset Management, Petit-Lancy, Switzerland)

Managerial Finance

ISSN: 0307-4358

Article publication date: 3 June 2014

795

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

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