Basis-momentum strategies and ranking periods

Kyung Yoon Kwon, Jangkoo Kang, Jaesun Yun

Research output: Contribution to journalArticlepeer-review

Abstract

We analyze basis-momentum, the difference between the past 12 months' momentum in first- and second-nearby futures contracts suggested by Boons and Prado (2018). Since basis-momentum is related to the slope and the curvature over the ranking period, we split the 12-month ranking period into three subperiods—the current month, the past five months, and the six months before the previous five months—and construct three basis-momentums with them. Our results show that these three basis-momentums differ substantially in predicting future returns and have different economic determinants, namely, imbalance in the supply and demand and volatility risk in financial markets.
Original languageEnglish
Article number101997
Number of pages7
JournalFinance Research Letters
Early online date25 Feb 2021
DOIs
Publication statusE-pub ahead of print - 25 Feb 2021

Keywords

  • commodity futures
  • basis
  • momentum
  • basis-momentum
  • term structure

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