Comparison of Commodity Momentum Strategy in the U.S. and Chinese Markets
May 12, 2023
The commodity momentum strategy is a crucial driving force behind Commodity Trading Advisor (CTA) strategies, as it capitalizes on the persistence of price trends in various commodity markets. By identifying and exploiting these trends, CTAs can achieve robust returns and diversification benefits.
In their new paper, John Hua FAN and Xiao QIAO (February 2023) present their perspective and understanding of cross–country and cross–sector influences on the behavior of commodity momentum beyond established commodity fundamentals focusing on U.S. and China markets.
https://quantpedia.com/comparison-of-commodity-momentum-strategy-in-the-u-s-and-chinese-markets/
