Strategies Based on Momentum and Term Structure in Financialized Commodity Markets

Adam Zaremba

Abstract

The aim of this paper is to investigate the impact of the financialization of commodity markets on the profitability of strategies based on momentum and term structure. The performance of an array of portfolios from double-sorts on non-commercial traders’ participation, historical returns and term spreads are tested against a risk model. The analysis covers the listing of 26 commodities in the period 1986 – 2013. First and foremost, the paper provides a fresh evidence for the validity of strategies based on momentum and term structure investing in commodity markets. Secondly, it proves that term structure strategies generate significantly higher performance results in non-financialized markets. Moreover, it supports the thesis that market financialization adversely affects momentum profits. The results are important in terms of tactical and strategic asset allocation in commodity markets. They imply that investors who implement momentum or term structure based strategies should also consider the composition of market participants.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
Journal seriesBusiness and Economics Research Journal, ISSN 1309-2448, e-ISSN 2619-9491, (B 10 pkt)
Issue year2016
Vol7
No1
Pages31-46
Publication size in sheets0.75
Keywords in EnglishCommodity Futures, Commodity Markets, Financialization, Momentum, Term Structure, Backwardation, Contango, Double-Sort Strategy
DOIDOI:10.20409/berj.2016116803
URL https://www.berjournal.com/berjournal-ciltvolume-7-sayinumber-1-yilyear-2016.html
Languageen angielski
Score (nominal)10
Score sourcejournalList
ScoreMinisterial score = 0.0, 09-06-2020, ArticleFromJournal
Ministerial score (2013-2016) = 10.0, 09-06-2020, ArticleFromJournal
Citation count*17 (2020-08-03)
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* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.
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