Evaluating Trend‐Based Strategies in Chinese Commodity Futures Markets
研究利用2003至2023年64种中国商品期货数据，发现时间序列动量策略收益高，且不受特定时期或品种影响，分解分析揭示了关键驱动因素，并开发了四种改进策略以提升收益和风险控制。
ABSTRACT We examine the performance of trend‐based strategies in Chinese commodity futures markets, using a data set of 64 commodity futures from 2003 to 2023. We find that TSMOM strategies generate high returns. The performance is not driven by specific sample periods or individual commodity futures. TSMOM factors also exhibit strong explanatory power for other commodity portfolios, including newly developed trend‐based strategies. Decomposition analysis reveals key drivers, including the autocovariance of commodity returns, independent predictive effects, the distribution of volatility‐managed weights, and a non‐positive risk‐return relationship. We develop four enhanced strategies to improve returns and risk control. All strategies remain robustly profitable after accounting for transaction costs.