This study examines novel momentum strategies in commodities futures markets that incorporate term …-structure information. We show that momentum strategies that invest in contracts on the futures curve with the largest expected roll …-yield or the strongest momentum earn significantly higher risk-adjusted returns than a traditional momentum strategy, which …

This paper examines the combined role of momentum and term structure signals for the design of profitable trading … strategies in commodity futures markets. With significant annualized alphas of 10.14% and 12.66% respectively, the momentum and … double-sort strategy that exploits both momentum and term structure signals clearly outperforms the single-sort strategies …