“Time series momentum” in commodity markets

Abstract

Purpose– The purpose of this paper is to contain an empirical application of the concept of “time series momentum” – as developed by Moskowitzet al.(2012) – to commodity markets with daily data during 1995-2012.Design/methodology/approach– The paper applies the new concept of “time series momentum” to the sphere of commodity markets.Findings– The paper extends the results previously obtained by Moskowitzet al.(2012) to a second category labeled “breakout strategy.”Research limitations/implications– Further management strategies can be elaborated for investment management purposes, based on the suggested inclusion of the “time series momentum” in commodities.Practical implications– The empirical evidence gathered in this paper bears practical significance for portfolio managers and commodity tradings advisors relying on trend following strategies.Originality/value– Commodity markets are quickly developing to an alternative asset class for investors. Discovering their properties and characteristics has a broad appeal in finance.