This study examines novel momentum strategies in commodities futures markets that incorporate term-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll-yield or the strongest momentum earn significantly higher risk-adjusted returns than a traditional momentum strategy, which only invests in the nearest contracts. Moreover, when incorporating conservative transaction costs we observe that our low-turnover momentum strategy more than doubles the net return compared to a traditional momentum strategy.

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Journal of Banking & Finance
Erasmus University Rotterdam

de Groot, W., Karstanje, D., & Zhou, W. (2014). Exploiting commodity momentum along the futures curves. Journal of Banking & Finance, 48, 79–93. doi:10.1016/j.jbankfin.2014.08.008