Financial Education

In the June 2007 Journal of Banking and Finance, Miffre and Rallis compare strategies for investing in commodity futures based on short-term momentum and long-term reversal, based on a variety of formation and holding periods.

Momentum strategies based on selling past losers and buying past winners generated positive and significant returns in 13 of the 16 combinations of formation and holding periods, with a significant portion of that return being derived from short positions in the losers. These strategies generate positive alpha and have low correlations with the returns on equity or fixed income securities.

The reversal strategies do not exhibit consistent outperformance in this study.

For more information, see all articles on: Futures, Investing in Commodities, Investment Returns, Momentum Strategies, Portfolio Management, Research

See also:

Investing in Commodities

Commodity Benchmarks

Types of Managed Futures Accounts

Using Futures to Alter Risk in Fixed Income Portfolios

Components of Total Return for Investments in Commodity Futures