Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets
The aim within this paper is to analyze the difference between momentum and contrarian portfolios constructed under the cross-sectional and time-series analysis, within the commodity futures markets. The returns indicate that the contrarian portfolios are the most profitable, as well as it’s observe...
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| Format: | Article |
| Language: | English |
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Taylor & Francis Group
2017-01-01
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| Series: | Cogent Economics & Finance |
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| Online Access: | http://dx.doi.org/10.1080/23322039.2017.1339772 |