"Time series momentum" in commodity markets. Issue 7 (2014)

• Record Type: Journal Article
• Authors: Julien Chevallier; Florian Ielpo
• Is Part Of: Managerial finance. Volume 40:Issue 7(2014)
• Page Start: 662
• Page End: 680
• Publication Date: 2014
• Subjects: Corporations -- Finance -- Periodicals; Business enterprises -- Finance -- Periodicals; 658.1505
• DOI: 10.1108/MF-11-2013-0322
• Languages: English
• ISSNs: 0307-4358

Abstract

<abstract> <title> <x xml:space="preserve"> Abstract </x> </title> <p> <bold>Purpose</bold> – The purpose of this paper is to contain an empirical application of the concept of "time series momentum" – as developed by Moskowitz <italic>et al.</italic> (2012) – to commodity markets with daily data during 1995‐2012. <bold>Design/methodology/approach</bold> – The paper applies the new concept of "time series momentum" to the sphere of commodity markets. <bold>Findings</bold> – The paper extends the results previously obtained by Moskowitz <italic>et al.</italic> (2012) to a second category labeled "breakout strategy." <bold>Research limitations/implications</bold> – Further management strategies can be elaborated for investment management purposes, based on the suggested inclusion of the "time series momentum" in commodities. <bold>Practical implications</bold> – The empirical evidence gathered in this paper bears practical significance for portfolio managers and commodity tradings advisors relying on trend following strategies. <bold>Originality/value</bold> – Commodity markets are quickly developing to an alternative asset class for investors. Discovering their properties and characteristics has a broad appeal in finance.</p> <ack> <title> <x xml:space="preserve"> Acknowledgements </x> </title> <p> <bold>JEL Classifications —</bold> C32; C58; G10; Q02</p> </ack> </abstract>