Momentum and mean-reversion in commodity spot and futures markets

被引：18

作者：

Chaves, Denis B. ^{[1
]}

Viswanathan, Vivek ^{[2
]}

机构：

[1] Vanguard Grp, Malvern, PA 19355 USA

[2] Rayliant Global Advisors, Canonsburg, PA USA

来源：

JOURNAL OF COMMODITY MARKETS | 2016年 / 3卷 / 01期

关键词：

Commodity futures; Basis; Momentum; Mean-reversion; Trend-following; Trading strategies; RISK; STRATEGIES; RETURNS;

D O I：

10.1016/j.jcomm.2016.08.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study momentum and mean-reversion strategies in commodity futures prices and their relationship to momentum and mean-reversion in commodity spot prices. We find that momentum performs well in futures markets, but not in spot markets, and that mean-reversion performs well in spot markets, but not in futures markets. A decomposition of the basis (the slope of the term-structure of futures prices) into expected risk premiums and expected changes in spot prices helps us shed some light on the different results across the futures and spot markets. Most interestingly, we find that momentum in futures prices cannot be explained by a sustained trend in spot prices. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：39 / 53

页数：15

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