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Basu, Devraj, Oomen, Roel and Stremme, Alexander. (2010) How to time the commodities markets. Journal of Derivatives & Hedge Funds , Vol.16 (No.1). pp. 1-8. ISSN 1753-9641
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Official URL: http://dx.doi.org/10.1057/jdhf.2010.4
Abstract
In this article we construct and investigate the performance of elementary trading strategies that allow an investor to time between equities and commodities. Our strategies appear to capture time-varying risk premiums in the equity and commodity markets, enabling them to successfully time the market, outperforming the benchmark index as well as buy-and-hold and trend-based strategies.
| Item Type: | Journal Article |
|---|---|
| Subjects: | H Social Sciences > HF Commerce |
| Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
| Journal or Publication Title: | Journal of Derivatives & Hedge Funds |
| Publisher: | Palgrave Macmillan Ltd. |
| ISSN: | 1753-9641 |
| Date: | 2010 |
| Volume: | Vol.16 |
| Number: | No.1 |
| Number of Pages: | 8 |
| Page Range: | pp. 1-8 |
| Identification Number: | 10.1057/jdhf.2010.4 |
| Status: | Peer Reviewed |
| Publication Status: | Published |
| Access rights to Published version: | Restricted or Subscription Access |
| URI: | http://wrap.warwick.ac.uk/id/eprint/44876 |
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