Momentum on commodity futures markets: crowds and crashes

Detalhes bibliográficos
Autor(a) principal: Nunes, Tomás Farinha de Figueiredo e Sousa
Data de Publicação: 2018
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10362/49542
Resumo: Momentum strategies with commodity futures are simple to implement and have been profitable for the past couple of decades. Nonetheless, they yield large drawdowns every once in a while. One theory that can explain these events is related to the high level of activity (crowdedness) in the strategy, which can be the cause of forced unwinding of positions after negative shocks take place due to the use of excessive leverage. Therefore, a measure of activity is used to test whether there is a relationship between returns and crowdedness. Even though the result of an analysis of momentum strategies with 12-month ranking period does not support this theory, strategies with 1-month of ranking period show that the theory might have real foundations.
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spelling Momentum on commodity futures markets: crowds and crashesCrowdednessCommodities futuresMomentumDrawdownCrashDomínio/Área Científica::Ciências Sociais::Economia e GestãoMomentum strategies with commodity futures are simple to implement and have been profitable for the past couple of decades. Nonetheless, they yield large drawdowns every once in a while. One theory that can explain these events is related to the high level of activity (crowdedness) in the strategy, which can be the cause of forced unwinding of positions after negative shocks take place due to the use of excessive leverage. Therefore, a measure of activity is used to test whether there is a relationship between returns and crowdedness. Even though the result of an analysis of momentum strategies with 12-month ranking period does not support this theory, strategies with 1-month of ranking period show that the theory might have real foundations.Boons, MartijnRUNNunes, Tomás Farinha de Figueiredo e Sousa2018-10-22T11:19:50Z2018-06-052018-06-05T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/49542TID:201975092enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T04:25:12Zoai:run.unl.pt:10362/49542Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:32:14.002054Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Momentum on commodity futures markets: crowds and crashes
title Momentum on commodity futures markets: crowds and crashes
spellingShingle Momentum on commodity futures markets: crowds and crashes
Nunes, Tomás Farinha de Figueiredo e Sousa
Crowdedness
Commodities futures
Momentum
Drawdown
Crash
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
title_short Momentum on commodity futures markets: crowds and crashes
title_full Momentum on commodity futures markets: crowds and crashes
title_fullStr Momentum on commodity futures markets: crowds and crashes
title_full_unstemmed Momentum on commodity futures markets: crowds and crashes
title_sort Momentum on commodity futures markets: crowds and crashes
author Nunes, Tomás Farinha de Figueiredo e Sousa
author_facet Nunes, Tomás Farinha de Figueiredo e Sousa
author_role author
dc.contributor.none.fl_str_mv Boons, Martijn
RUN
dc.contributor.author.fl_str_mv Nunes, Tomás Farinha de Figueiredo e Sousa
dc.subject.por.fl_str_mv Crowdedness
Commodities futures
Momentum
Drawdown
Crash
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
topic Crowdedness
Commodities futures
Momentum
Drawdown
Crash
Domínio/Área Científica::Ciências Sociais::Economia e Gestão
description Momentum strategies with commodity futures are simple to implement and have been profitable for the past couple of decades. Nonetheless, they yield large drawdowns every once in a while. One theory that can explain these events is related to the high level of activity (crowdedness) in the strategy, which can be the cause of forced unwinding of positions after negative shocks take place due to the use of excessive leverage. Therefore, a measure of activity is used to test whether there is a relationship between returns and crowdedness. Even though the result of an analysis of momentum strategies with 12-month ranking period does not support this theory, strategies with 1-month of ranking period show that the theory might have real foundations.
publishDate 2018
dc.date.none.fl_str_mv 2018-10-22T11:19:50Z
2018-06-05
2018-06-05T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10362/49542
TID:201975092
url http://hdl.handle.net/10362/49542
identifier_str_mv TID:201975092
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
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reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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