Modified momentum strategies in commodity futures markets

摘要

This project examined the profitability of applying momentum-investing strategies to commodity futures markets. Momentum strategies exploit short-term price continuation of securities by buying the highest performers, selling the lowest performers, and holding the positions for short periods of time. This project focused on twenty of the highest volume futures contracts and narrowed the scope of the time horizon to the past ten years. This time horizon showed that the institutionalization of momentum strategies in commodity futures markets has not eroded the potential profit opportunities as first reported by Miffre and Rallis in 2006 [1]. In fact, the institutionalization of these strategies appears to have improved their performance.