Picking winners to pick your winners: The momentum effect in commodity risk factors

Adam Zaremba , Mateusz Mikutowski , Andreas Karathanasopoulos , Mohammed Osman

Abstract

Is there momentum in commodity risk factors? To answer this question we study the performance of 15 commodity factor portfolios for the years 1986–2017. We are the first to document the strong cross-sectional relationship between past factor returns and their future payoffs. The factors with the highest (lowest) past returns continue to overperform (underperform). The strategy of buying (selling) long (short) sides of anomaly portfolios with the highest (lowest) past returns delivers an economically meaningful mean return and alpha, outperforming in these terms a benchmark equally weighting all of the factors. The results are robust to many considerations, including sorting periods, holding periods, implementation details, samples of factors, and subperiod analysis. The factor momentum is largely explained by the commodity price momentum effect.
Author Adam Zaremba (WZ / KIiRK)
Adam Zaremba,,
- Department of Investment and Capital Markets
, Mateusz Mikutowski (WZ / KIiRK)
Mateusz Mikutowski,,
- Department of Investment and Capital Markets
, Andreas Karathanasopoulos - Dubai Business School, University of Dubai
Andreas Karathanasopoulos,,
-
, Mohammed Osman - Dubai Business School, University of Dubai
Mohammed Osman,,
-
Journal seriesNorth American Journal of Economics and Finance, ISSN 1062-9408, e-ISSN 1879-0860, (N/A 70 pkt)
Issue year2019
Vol50
Pages1-13
Publication size in sheets0.6
Article number101017
Keywords in PolishSurowce, Wycena kontraktów futures, Momentum czynników ryzyka, Predykcja stóp zwrotu
Keywords in EnglishCommodities, Futures pricing, Factor momentum, Return predictability
ASJC Classification2002 Economics and Econometrics; 2003 Finance
DOIDOI:10.1016/j.najef.2019.101017
URL https://www.sciencedirect.com/science/article/pii/S1062940818306053
Languageen angielski
Score (nominal)70
Score sourcejournalList
ScoreMinisterial score = 70.0, 14-04-2020, ArticleFromJournal
Publication indicators WoS Citations = 0; Scopus SNIP (Source Normalised Impact per Paper): 2018 = 0.914; WoS Impact Factor: 2017 = 1.098 (2) - 2017=1.194 (5)
Citation count*3 (2020-07-09)
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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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