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Momentum on commodity futures markets: crowds and crashes
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Orientador(es)
Resumo(s)
Momentum strategies with commodity futures are simple to implement and have been profitable for the past couple of decades. Nonetheless, they yield large drawdowns every once in a while. One theory that can explain these events is related to the high level of activity (crowdedness) in the strategy, which can be the cause of forced unwinding of positions after negative shocks take place due to the use of excessive leverage. Therefore, a measure of activity is used to test whether there is a relationship between returns and crowdedness. Even though the result of an analysis of momentum strategies with 12-month ranking period does not support this theory, strategies with 1-month of ranking period show that the theory might have real foundations.
Descrição
Palavras-chave
Crowdedness Commodities futures Momentum Drawdown Crash