Commodity momentum: A tale of countries and sectors*
JOURNAL OF COMMODITY MARKETS(2023)
摘要
This paper takes a cross-country and cross-sector perspective to investigate the drivers of commodity momentum strategies. Commodity momentum strategies deployed in the U.S. and Chinese markets generate positive average returns with non-negligible correlations, but their premia are primarily local, and their return characteristics are distinct. A prevalent sector effect explains a significant fraction of momentum profits in both markets, suggesting that long-short commodity futures momentum may be riskier than previously thought. Overall, our findings suggest commodity momentum is more consistent with a risk-based explanation in U.S. markets whereas risk alone is difficult to capture the premia in China.
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关键词
Commodity futures,Momentum,Sectors,Inflation,China
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