How about selling commodity futures losers?

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This paper explores the benefits of extending the investment universe to commodity futures, from the perspective of momentum traders. We find that the growth-optimal portfolio includes negative (positive) weights on commodity futures losers (stock winners). Motivated by this finding, we construct a joint momentum strategy, buying stock winners and selling commodity futures losers, and show that it generates an average monthly return of up to 1.91% and provides much lower skewness (0.04) and kurtosis (1.27) than a traditional stock momentum strategy. It also greatly improves profitability, especially in unfavorable market states, and thus effectively manages tail risk.
Publisher
WILEY
Issue Date
2019-12
Language
English
Article Type
Article
Citation

JOURNAL OF FUTURES MARKETS, v.39, no.12, pp.1489 - 1514

ISSN
0270-7314
DOI
10.1002/fut.22051
URI
http://hdl.handle.net/10203/270021
Appears in Collection
MT-Journal Papers(저널논문)
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