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The Journal of Alternative Investments

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Primary Article

Momentum in Asset Returns

Are Commodity Returns a Special Case?

Thomas Schneeweis, Hossein B Kazemi and Richard B Spurgin
The Journal of Alternative Investments Spring 2008, 10 (4) 23-36; DOI: https://doi.org/10.3905/jai.2008.705530
Thomas Schneeweis
Michael and Cheryl Philipp professor of finance at Isenberg School of Management, University of Massachusetts in Amherst, MA.
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  • For correspondence: schneeweis@som.umass.edu
Hossein B Kazemi
Professor of finance at Isenberg School of Management, University of Massachusetts in Amherst, MA.
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  • For correspondence: kazemi@som.umass.edu
Richard B Spurgin
Associate professor of finance, Graduate School of Management, Clark University in Worcester, MA.
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  • For correspondence: rspurgin@clarku.edu
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Abstract

This article reviews research on momentum in asset markets, with an emphasis on research involving momentum in commodity markets. Commodity markets are different than the markets for financial assets, such as stocks and bonds. Storage costs, inventory levels, and hedging demand by suppliers and producers influence commodity prices in ways that may not be observed in other asset classes. Research indicates that momentum profits are related to these market structure factors. The persistence of momentum in commodity markets has implications for investment products that incorporate commodities. The popularity of commodity investments among institutional investors has increased dramatically in the past decade. While some investors have allocated funds to hedge funds that incorporate momentum-based strategies, most of these investments are in indices that do not have a momentum component to the return. Research indicates that adding a momentum component to a commodity portfolio may provide strategic benefits in the form of higher risk-adjusted returns and reduced volatility.

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The Journal of Alternative Investments
Vol. 10, Issue 4
Spring 2008
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Momentum in Asset Returns
Thomas Schneeweis, Hossein B Kazemi, Richard B Spurgin
The Journal of Alternative Investments Mar 2008, 10 (4) 23-36; DOI: 10.3905/jai.2008.705530

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Momentum in Asset Returns
Thomas Schneeweis, Hossein B Kazemi, Richard B Spurgin
The Journal of Alternative Investments Mar 2008, 10 (4) 23-36; DOI: 10.3905/jai.2008.705530
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