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Macroeconomic risk in commodities market
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| 1.91 MB | Adobe PDF |
Orientador(es)
Resumo(s)
The thesis studies the presence of macroeconomic risk in the commodities futures market. I
present strong evidence that there is a strong relationship between macroeconomic risk and
individual commodities future returns. Furthermore, long-only trading strategies seem to be
strongly exposed to systematic risk, while long-short trading strategies (based on basis,
momentum and basis-momentum) are found to present no such risk. Instead, I found a strong
sentiment exposure in the portfolio returns of these long-short strategies, mainly during
recessions. The advantages of following long-short strategies become even clearer when
analyzing different macroeconomic regimes.
Descrição
Palavras-chave
Future commodity returns Macroeconomic risk Sentiment indicators Trading strategy Macroeconomic regimes