Momentum Strategies in Commodity Futures Markets

By Joëlle Miffre, G. Rallis. 2007

445 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d1619aeabc47f9240049e1ce8ba490c879003b9a

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Citations in the corpus

Capturing the Risk Premium of Commodity Futures: The Role of Hedging Pressure (2013, background): “This result corroborates the evidence of Miffre and Rallis (2007) who also show that commodity-based momentum portfolios fail to hedge inflation shocks.”
Understanding the Momentum Risk Premium: An In-Depth Journey Through Trend-Following Strategies (2017, background): “However, the nature of momentum strategies in commodity markets is different than in equity markets, because of backwardation and contango effects (Miffre and Rallis, 2007).”
The Skewness of Commodity Futures Returns (2018, unknown): “To put it differently, scarce (backwardated) commodities are likely to be momentum winners and abundant (contangoed) commodities are likely to be momentum losers (Miffre and Rallis, 2007; Gorton et al. , 2013).”
Trend-following trading strategies in commodity futures: A re-examination (2010, background): “Both Shen, Szakmary and Sharma (2007) and Miffre and Rallis (2007) duplicate this strategy in commodity futures by aggregating results across the numerous separate markets they examine.”
Should Investors Include Commodities in Their Portfolios After All? New Evidence (2011, unknown): “…returns can be predicted by a number of variables (see e.g., Hong and Yogo, 2010, and the references therein), and profitable momentum and term structure strategies can be constructed (Erb and Harvey, 2006, Gorton et al., 2007, Miffre and Rallis, 2007, Basu and Miffre, 2010, Fuertes et al., 2010).”
Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals (2010, unknown): “9 The results in Table 2 suggest that, in line with Miffre and Rallis (2007), the returns of virtually all long/short portfolios follow the ups and downs of the S&P GSCI (with a confidence level of at least 95”
Can Commodity Futures be Profitably Traded with Quantitative Market Timing Strategies (2008, methodology): “In this regard, our definition of return is conservative (see Miffre and Rallis, 2007, for more detail on this point).”
Demystifying Time‐Series Momentum Strategies: Volatility Estimators, Trading Rules and Pairwise Correlations (2020, unknown): “Return Predictability Following Moskowitz et al. (2012) and Baltas and Kosowski (2013), we first assess the amount of insample return predictability that is inherent in lagged excess returns or lagged trading rules by running the following pooled panel regressions: rt ́1,t σt ́1 “ α`βλ ̈ rt ́λ ́1,t”
The Fundamentals of Commodity Futures Returns (2007, unknown): “Momentum in commodity futures has been documented by Pirrong (2005), Erb and Harvey (2006), Miffre and Rallis (2007), and Shen, Szakmary, and Sharma (2007).”
A Tale of Two Premiums: The Role of Hedgers and Speculators in Commodity Futures Markets (2019, unknown): “Our lagged return variable captures short-term momentum, as documented by Pirrong (2005), Erb and Harvey (2006), and Miffre and Rallis (2007).”
"Momentum Strategies in Futures Markets and Trend-following Funds" (2013, unknown): “Following Moskowitz et al.’s (2012) evidence on profitability of monthly time-series momentum strategies and motivated by the fact that CTA funds differ in their forecast horizons and trading activity (Hayes 2011), we construct a comprehensive set of momentum portfolios across monthly, weekly and da”