Time-series and cross-sectional momentum and contrarian strategies within the commodity futures markets

The aim within this paper is to analyze the difference between momentum and contrarian portfolios constructed under the cross-sectional and time-series analysis, within the commodity futures markets. The returns indicate that the contrarian portfolios are the most profitable, as well as it's observed that they perform better within the cross-sectional analysis. The correlation of the best portfolios within other markets is also examined, and the results confirm that they are indeed a good investment tool for diversifying a portfolio with different assets. Within a pre- and post-2008 global crisis point of view, the findings suggest that, for the contrarian portfolios, the results are stronger during the pre-crisis period, although during the post-crisis period the portfolios preserve the positive returns. Additionally, it's perceived that the first and second subsequent years after a crash or crisis year are usually highly profitable within the cross-sectional and time-series contrarian portfolios.