A new strategy using term-structure dynamics of commodity futures
- Title
- A new strategy using term-structure dynamics of commodity futures
- Author
- 강형구
- Keywords
- Commodity; Futures; Backwardation; Contango; Momentum; Term structure dynamic-slope strategy; MOMENTUM STRATEGIES; HEDGING PRESSURE; RISK PREMIUMS; MARKETS; PRICES
- Issue Date
- 2014-09
- Publisher
- ACADEMIC PRESS INC ELSEVIER SCIENCE
- Citation
- In Finance Research Letters, September 2014, 11(3), p.282-288
- Abstract
- The term structure of commodity futures is important information for traders and investors. Traditional term-structure strategies are static; they tend to use the slope of term structure at a given moment. Instead, our trading strategy uses the change of term structure and generates statistically significant return. It also produces significant abnormal return in excess of the traditional two factors, i.e. the returns from static-slope strategy and daily momentum. Thus, its return includes orthogonal information or excess return that standard static-slope and momentum strategies cannot explain. This suggests a novel risk factor in the asset class of commodity futures or robust trading opportunities. (C) 2013 Elsevier Inc. All rights reserved.
- URI
- https://www.sciencedirect.com/science/article/abs/pii/S1544612313000676http://hdl.handle.net/20.500.11754/48281
- ISSN
- 1544-6123; 1544-6131
- DOI
- 10.1016/j.frl.2013.11.007
- Appears in Collections:
- GRADUATE SCHOOL OF BUSINESS[S](경영전문대학원) > ETC
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