{"id":3252,"date":"2016-03-31T05:01:34","date_gmt":"2016-03-31T02:01:34","guid":{"rendered":"http:\/\/www.berjournal.com\/?p=3252"},"modified":"2016-04-01T16:17:16","modified_gmt":"2016-04-01T13:17:16","slug":"strategies-based-on-momentum-and-term-structure-in-financialized-commodity-markets-2","status":"publish","type":"post","link":"https:\/\/www.berjournal.com\/tr\/strategies-based-on-momentum-and-term-structure-in-financialized-commodity-markets-2","title":{"rendered":"Strategies Based on Momentum and Term Structure in Financialized Commodity Markets"},"content":{"rendered":"

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Makale Bilgileri<\/td>\n<\/tr>\n
\n\n\n\n\n\n\n\n\n\n\n\n\n\n\n
Dergi:<\/td>\nBusiness and Economics Research Journal<\/td>\n<\/tr>\n
Makalenin Ba\u015fl\u0131\u011f\u0131:<\/td>\nStrategies Based on Momentum and Term Structure in Financialized Commodity Markets<\/td>\n<\/tr>\n
Yazar(lar):<\/td>\nAdam Zaremba<\/td>\n<\/tr>\n
Cilt:<\/td>\n7<\/td>\n<\/tr>\n
Say\u0131:<\/td>\n1<\/td>\n<\/tr>\n
Y\u0131l:<\/td>\n2016<\/td>\n<\/tr>\n
Sayfa:<\/td>\n31-46<\/td>\n<\/tr>\n
ISSN:<\/td>\n1309-2448<\/td>\n<\/tr>\n
DOI Numaras\u0131:<\/td>\n10.20409\/berj.2016116803<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
\u00d6z<\/td>\n<\/tr>\n
The aim of this paper is to investigate the impact of the financialization of commodity markets on the profitability of strategies based on momentum and term structure. The performance of an array of portfolios from double-sorts on non-commercial traders\u2019 participation, historical returns and term spreads are tested against a risk model. The analysis covers the listing of 26 commodities in the period 1986 \u2013 2013. First and foremost, the paper provides a fresh evidence for the validity of strategies based on momentum and term structure investing in commodity markets. Secondly, it proves that term structure strategies generate significantly higher performance results in non-financialized markets. Moreover, it supports the thesis that market financialization adversely affects momentum profits. The results are important in terms of tactical and strategic asset allocation in commodity markets. They imply that investors who implement momentum or term structure based strategies should also consider the composition of market participants.<\/td>\n<\/tr>\n
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Anahtar Kelimeler:<\/td>\nCommodity Futures, Commodity Markets, Financialization, Momentum, Term Structure, Backwardation, Contango, Double-Sort Strategy<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n
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JEL S\u0131n\u0131fland\u0131rmas\u0131:<\/td>\nG11, G13, Q02<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n

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Makale Bilgileri Dergi: Business and Economics Research Journal Makalenin Ba\u015fl\u0131\u011f\u0131: Strategies Based on Momentum and Term Structure in Financialized Commodity Markets Yazar(lar): Adam Zaremba Cilt: 7 Say\u0131: 1 Y\u0131l: 2016 Sayfa: 31-46 ISSN: 1309-2448 DOI Numaras\u0131: 10.20409\/berj.2016116803 \u00d6z The aim of this paper is to investigate the impact of the financialization of commodity markets on […]<\/p>\n

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