Macroeconomic risk in commodities market
Autor(a) principal: | |
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Data de Publicação: | 2016 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10362/16700 |
Resumo: | The thesis studies the presence of macroeconomic risk in the commodities futures market. I present strong evidence that there is a strong relationship between macroeconomic risk and individual commodities future returns. Furthermore, long-only trading strategies seem to be strongly exposed to systematic risk, while long-short trading strategies (based on basis, momentum and basis-momentum) are found to present no such risk. Instead, I found a strong sentiment exposure in the portfolio returns of these long-short strategies, mainly during recessions. The advantages of following long-short strategies become even clearer when analyzing different macroeconomic regimes. |
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Macroeconomic risk in commodities marketFuture commodity returnsMacroeconomic riskSentiment indicatorsTrading strategyMacroeconomic regimesDomínio/Área Científica::Ciências Sociais::Economia e GestãoThe thesis studies the presence of macroeconomic risk in the commodities futures market. I present strong evidence that there is a strong relationship between macroeconomic risk and individual commodities future returns. Furthermore, long-only trading strategies seem to be strongly exposed to systematic risk, while long-short trading strategies (based on basis, momentum and basis-momentum) are found to present no such risk. Instead, I found a strong sentiment exposure in the portfolio returns of these long-short strategies, mainly during recessions. The advantages of following long-short strategies become even clearer when analyzing different macroeconomic regimes.Prado, MelissaRUNGonçalves, Barbara Maria Barreiros2017-01-30T01:30:11Z2016-012016-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10362/16700TID:201528410enginfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2024-03-11T03:53:49Zoai:run.unl.pt:10362/16700Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T03:23:25.392866Repositório 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 |
Macroeconomic risk in commodities market |
title |
Macroeconomic risk in commodities market |
spellingShingle |
Macroeconomic risk in commodities market Gonçalves, Barbara Maria Barreiros Future commodity returns Macroeconomic risk Sentiment indicators Trading strategy Macroeconomic regimes Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Macroeconomic risk in commodities market |
title_full |
Macroeconomic risk in commodities market |
title_fullStr |
Macroeconomic risk in commodities market |
title_full_unstemmed |
Macroeconomic risk in commodities market |
title_sort |
Macroeconomic risk in commodities market |
author |
Gonçalves, Barbara Maria Barreiros |
author_facet |
Gonçalves, Barbara Maria Barreiros |
author_role |
author |
dc.contributor.none.fl_str_mv |
Prado, Melissa RUN |
dc.contributor.author.fl_str_mv |
Gonçalves, Barbara Maria Barreiros |
dc.subject.por.fl_str_mv |
Future commodity returns Macroeconomic risk Sentiment indicators Trading strategy Macroeconomic regimes Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Future commodity returns Macroeconomic risk Sentiment indicators Trading strategy Macroeconomic regimes Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
The thesis studies the presence of macroeconomic risk in the commodities futures market. I present strong evidence that there is a strong relationship between macroeconomic risk and individual commodities future returns. Furthermore, long-only trading strategies seem to be strongly exposed to systematic risk, while long-short trading strategies (based on basis, momentum and basis-momentum) are found to present no such risk. Instead, I found a strong sentiment exposure in the portfolio returns of these long-short strategies, mainly during recessions. The advantages of following long-short strategies become even clearer when analyzing different macroeconomic regimes. |
publishDate |
2016 |
dc.date.none.fl_str_mv |
2016-01 2016-01-01T00:00:00Z 2017-01-30T01:30:11Z |
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/10362/16700 TID:201528410 |
url |
http://hdl.handle.net/10362/16700 |
identifier_str_mv |
TID:201528410 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
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 |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
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 |
repository.mail.fl_str_mv |
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1799137871203926016 |