Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets

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2017
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Abstract
The aim within this paper is to analyze the difference between momentum and contrarian portfolios constructed under the cross-sectional and time-series analysis, within the commodity futures markets. The returns indicate that the contrarian portfolios are the most profitable, as well as it’s observed that they perform better within the cross-sectional analysis. The correlation of the best portfolios within other markets is also examined, and the results confirm that they are indeed a good investment tool for diversifying a portfolio with different assets. Within a pre- and post-2008 global crisis point of view, the findings suggest that, for the contrarian portfolios, the results are stronger during the pre-crisis period, although during the post-crisis period the portfolios preserve the positive returns. Additionally, it’s perceived that the first and second subsequent years after a crash or crisis year are usually highly profitable within the cross-sectional and time-series contrarian portfolios.
Reference Key
rosales2017timeseriescogent Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Rosales, Enrique Benavides;
Journal cogent economics & finance
Year 2017
DOI
DOI not found
URL
http://dx.doi.org/10.1080/23322039.2017.1339772
Keywords
Technology economics as a science finance economic theory. demography industrial engineering. management engineering applied mathematics. quantitative methods public finance

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