An Examination of Momentum Strategies in Commodity Futures Markets PoorSatisfactoryGoodVery GoodExcellent Be the first. (0 ratings) Log in to rate this article. CFA Digest August 2007 | Vol. 37 | No. 3 | 3 pages Source: CFA InstituteQian Shen Andrew C. Szakmary Subhash C. SharmaDeborah Winch, CFA (Reviewer) Read Abstract In recent years, many studies have shown momentum strategies to be surprisingly profitable for horizons of 1–12 months. The consensus in the literature is that the profits are greater than what the risk factors would suggest. The authors study momentum strategies in commodities futures markets and find that momentum strategies generate highly significant positive returns for short and intermediate time periods and that the returns are similar in magnitude to those reported for stocks. View more information Topics Derivatives | Portfolio Management Credits · About the CE Program 0 CE (including 0 SER) Record credits Credits recorded Members, log in to record your credits. Manage CE Credits People who viewed this page also viewed: Credit Suisse Global Wealth Report The "Credit Suisse Global Wealth Report" is a comprehensive study of world wealth that analyzes the world’s entire 200 trillion ... More Credit Suisse Global Wealth Databook This Databook displays the detailed dataset backing the "Credit Suisse Global Wealth Report," the comprehensive study of world ... More Top Hedge Fund Investors: Stories, Strategies, and Advice This book chronicles top hedge fund investors that played key roles in the industry, including substantial information on manager sourcing, ... More Loading ...