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How to time the commodities markets
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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. doi:10.1057/jdhf.2010.4 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 | ||||
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Subjects: | H Social Sciences > HF Commerce | ||||
Divisions: | Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School |
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Journal or Publication Title: | Journal of Derivatives & Hedge Funds | ||||
Publisher: | Palgrave Macmillan Ltd. | ||||
ISSN: | 1753-9641 | ||||
Official Date: | 2010 | ||||
Dates: |
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Volume: | Vol.16 | ||||
Number: | No.1 | ||||
Number of Pages: | 8 | ||||
Page Range: | pp. 1-8 | ||||
DOI: | 10.1057/jdhf.2010.4 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
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