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• W1877451640 abstract "We provide evidence that a simple moving average timing strategy, when applied to portfolios of commodity futures, can generate superior performance to the buy-and-hold strategy. The outperformance is very robust. It can survive the transaction costs in the futures markets, it is not concentrated in a particular subperiod, and it is robust to short-sale constraint, alternative specifications of the moving average lag length, and alternative construction of the continuous time-series of futures prices. The outperformance of the timing strategy is stronger during recession and with high investor sentiment, which likely proxies for high real interest rates. Finally, we confirm that the outperformance of the moving average timing strategy in the commodity futures comes from the successful timing of the market portfolio." @default.
• W1877451640 created "2016-06-24" @default.
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• W1877451640 date "2015-01-01" @default.
• W1877451640 modified "2023-09-22" @default.
• W1877451640 title "Are There Exploitable Trends in Commodity Future Prices?" @default.
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• W1877451640 doi "https://doi.org/10.2139/ssrn.2565536" @default.
• W1877451640 hasPublicationYear "2015" @default.
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