Factor Momentum in Commodity Futures Markets
研究了商品期货市场中因子动量的存在性，发现过去收益能正向预测未来收益，尤其在1个月期限最强，且可由错误定价解释。构建的时间序列有效因子提高了夏普比率和定价模型表现，但交易成本侵蚀了收益。
ABSTRACT This paper examines the factor momentum in commodity futures markets. Based on the US and UK data from 1985 to 2022, we first show that a commodity factor's past returns positively predict its future returns. This predictability is at its strongest over the 1‐month horizon, and could be explained by mispricing. The factor momentum suggests mean‐variance inefficient commodity factors and negatively impacts the efficiency of pricing models. We then construct the time‐series efficient factors, which exhibit higher Sharpe ratios and improve the performance of pricing models. These findings are robust across international commodity futures markets, but the transaction costs erode the economic gains of factor momentum and efficient factor strategies due to high portfolio turnover. Overall, our results point to the potential to time commodity factors and highlight the importance of conditional asset pricing in commodity futures markets.