How to time the commodities markets
| Authors |
|
|---|---|
| Publication date | 2010 |
| Journal | Journal of Derivatives and Hedge Funds |
| Volume | Issue number | 16 | 1 |
| Pages (from-to) | 1-8 |
| Organisations |
|
| 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. |
| Document type | Article |
| Language | English |
| Published at |
https://doi.org/10.1057/jdhf.2010.4
(Final published version)
|
| Permalink to this page | |