Managing volatility in commodity momentum
利用中国商品期货数据，实证研究管理波动性对商品动量策略的改进效果，发现新策略显著提升资产配置绩效，其盈利性源于动量特定风险的可预测性。
Abstract We empirically investigate the effect of managing volatility in commodity momentum. Using Chinese commodity futures data, we show that managing volatility significantly improves the performance of commodity momentum. Including the new strategy significantly enhances asset allocation performance. Then, we explore several potential explanations for the profitability of the new strategy. Commodity‐specific factors, business cycle risk, financial market conditions, investor sentiments, transaction costs, leverage constraints, and data‐snooping bias do not fully account for this profitability. The profitability is in line with the predictability of momentum‐specific risk rather than aggregate market risk. Comprehensive robustness checks support our main findings.