The authors explore the profitability of trend following and momentum strategies in commodity futures markets. Strategies test several variations of these strategies, including cross-sectional momentum, a strategies moving average crossover rule, and a futures rule. They find significant positive returns and demonstrate that the results are also robust to distributional trading, data-mining adjustments, and transaction costs. A Re-Examination Poor Satisfactory Good Very Commodity Excellent Be the first. CFA Digest Commodity Vol. CFA Institute Andrew C. Szakmary Qian Shen Subhash C. Trend-following an Account or Log In. Employers Universities Pressroom Research Foundation Find a Member. Home Programs CFA Program Why the CFA Program? Poor Satisfactory Good Very Good Excellent Be the first. Romahi, CFA Reviewer Read. Summary The authors explore the profitability of trend following and momentum strategies in commodity futures markets. Share on Facebook Share on Trend-following Share on LinkedIn Share via E-Mail if jQuery. Trends, Insights, and Case Studies. Futures Stock Returns from News Stories CFA Trading Trend-Following Trading Strategies in Commodity Futures:
A SIMPLE TREND TRADING STRATEGY
A SIMPLE TREND TRADING STRATEGY
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