REVERSAL OVERLAY FROM COMMODITY FUTURES
| dc.contributor.author | Sotsialkhan, Dosbol | |
| dc.date.accessioned | 2023-12-27T06:18:43Z | |
| dc.date.available | 2023-12-27T06:18:43Z | |
| dc.date.issued | 2021-12-21 | |
| dc.description.abstract | This study gets insight from a recently published article which finds out the predicting role of the “CFEAR” in the commodity futures market. It becomes interesting for me to check its robustness in a longer period. Due to the limitations of internet access prior to their sample period, this paper has examined whether a nearest proxy for the “CFEAR” can produce similar result. The proxied “Simple 5” portfolio failed to perform similarly out of sample. However, through examining various cross-sectional exploratory regressions and 576 different momentum strategies, a risky 6-Month Reversal patterns from the commodity futures returns has been identified in the training period. When this 6-Month Reversal portfolio added as an overlay to the Equal Weighted Commodity Portfolio and some conventional benchmarks in the stock market, the overlay can enhance the performance out-of-sample. Due to the limitations of data availability, other common factors such as basis, basis-momentum, relative basis, hedging pressure are not included in the study. A high Sharpe Ratio from the Reversal Portfolios indicates informationally inefficient markets. Thus, examining the economic significance of the short-term reversal strategies seems meaningful for the academia and practitioners | en_US |
| dc.identifier.citation | Sotsialkhan, D. (2021) Reversal overlay from commodity futures. Nazarbayev University, Graduate School of Business | en_US |
| dc.identifier.uri | http://nur.nu.edu.kz/handle/123456789/7563 | |
| dc.language.iso | en | en_US |
| dc.publisher | Nazarbayev University, Graduate School of Business | en_US |
| dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
| dc.subject | commodity futures | en_US |
| dc.subject | reversal | en_US |
| dc.subject | momentum | en_US |
| dc.subject | overlay portfolio | en_US |
| dc.subject | Type of access: Restricted | en_US |
| dc.title | REVERSAL OVERLAY FROM COMMODITY FUTURES | en_US |
| dc.type | Master's thesis | en_US |
| workflow.import.source | science |