Picking winners to pick your winners: The momentum effect in commodity risk factors
Adam Zaremba , Mateusz Mikutowski , Andreas Karathanasopoulos , Mohammed Osman
AbstractIs 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.
|Journal series||North American Journal of Economics and Finance, ISSN 1062-9408, e-ISSN 1879-0860, (N/A 70 pkt)|
|Publication size in sheets||0.6|
|Keywords in Polish||Surowce, Wycena kontraktów futures, Momentum czynników ryzyka, Predykcja stóp zwrotu|
|Keywords in English||Commodities, Futures pricing, Factor momentum, Return predictability|
|Score||= 70.0, 14-04-2020, ArticleFromJournal|
|Publication indicators||= 0; : 2018 = 0.914; : 2017 = 1.098 (2) - 2017=1.194 (5)|
|Citation count*||3 (2020-09-10)|
* presented citation count is obtained through Internet information analysis and it is close to the number calculated by the Publish or Perish system.