| Title |
Can economic factors improve momentum trading strategies? The case of managed futures during the COVID-19 pandemic / |
| Authors |
Guobužaitė, Renata ; Teresienė, Deimantė |
| DOI |
10.3390/economies9020086 |
| Full Text |
|
| Is Part of |
Economies.. Basel : MDPI. 2021, vol. 9, iss. 2, art. no. 86, p. [1-16].. eISSN 2227-7099 |
| Keywords [eng] |
backwardation ; economic regimes ; momentum strategy ; systematic trading |
| Abstract [eng] |
Systematic momentum trading is a prevalent risk premium strategy in different portfolios. This paper focuses on the performance of the managed futures strategy based on the momentum signal across different economic regimes, focusing on the COVID-19 pandemic period. COVID19 had a solid but short-lived impact on financial markets, and therefore gives a unique insight into momentum strategies’ performance during such critical moments of market stress. We offer a new approach to implementing momentum strategies by adding macroeconomic variables to the model. We test a managed futures strategy’s performance with a well-diversified futures portfolio across different asset classes. The research concludes that constructing a portfolio based on academically/economically sound momentum signals with its allocation timing based on broader economic factors significantly improves managed futures strategies and adds significant diversification benefits to the investors’ portfolios. |
| Published |
Basel : MDPI |
| Type |
Journal article |
| Language |
English |
| Publication date |
2021 |
| CC license |
|
