Can economic factors improve momentum trading strategies? The case of managed futures during the COVID-19 pandemic

Artikel

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. COVID-19 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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Journal: Economies ; ISSN: 2227-7099 ; Volume: 9 ; Year: 2021 ; Issue: 2 ; Pages: 1-16 ; Basel: MDPI

Classification and Topics

• Classification: Wirtschaft
• Subject: backwardation ; economic regimes ; momentum strategy ; systematic trading

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Guobužaitė, Renata ; Teresienė, Deimantė
• Event: Veröffentlichung
• (who): MDPI
• (where): Basel
• (when): 2021

Further information

• DOI: doi:10.3390/economies9020086
• Handle: http://hdl.handle.net/10419/257244
• Last update: 10.03.2025, 11:42 AM CET