a b s t r a c tThis paper examines profitable trading strategies that jointly exploit momentum and reversal signals in commodity futures. While the single-sort momentum strategies returns 11.14% per annum, on average, a consistent reversal pattern of momentum profits is pronounced from 12 to 30 months after portfolio formation. Combining the observed reversal pattern with the momentum signal, our double-sort strategy returns 20.24% per annum, which significantly outperforms single-sort strategies. The proposed strategy is robust to seasonality effects and sample adjustments in commodity futures. The profitability of the double-sort strategy cannot be explained by standard risk factors, term structure, market volatility, investor sentiment, data-mining or transaction costs, but appears to be related to global funding liquidity. As a consequence, the double-sort strategy in commodity futures may be employed as a portfolio diversification tool.
chloronortricyclene (13x) (31%) and exo.endo-3-methoxy-5-chloronortricyclene (13,n) (18%), respectively, by nmr comparison with authentic samples.16 A third nonester product was assigned the structure exo.endo-3,5-dimethoxynortricyclene (14) (5%): nmr (CDCls) 3.97 ('os, 1), 3.52 (t, 1), 3.30 (s, 6), and 2.2-1.2 ppm (6); mass spectrum (70 eV) m/e 154 (M+). The major ester product was indentified as exo,exo-3-methoxy-5-carbomethoxynortricyclene (11) (34%) by vpc and nmr comparison with an authentic sample.7 The minor ester product was identified as methoxycarbomethoxynortricyclene (12) (10%): nmr (CDC13) 6.10 (dd, 1,
Purpose-This study measures the level of responsible investment (RI) disclosure of the world's largest pension funds. Design/methodology/approach-The public disclosure of environmental, social and governance (ESG) factors by the world's largest pension funds reflect their genuine commitment to this new investment paradigm. The UNPRI criterion is employed to measure the level of public disclosure. One hour was allocated to every asset owner's web site to search and collect public information. Findings-Overall, the level of public disclosure of RI activities is not prolific. The study is negatively influenced by North American pension funds who dominate this sample. Public disclosure practices are positive for European funds. The size of funds under management positively influences the public disclosure and reflects their leadership role in the industry. Research limitations/implications-Limitations include: the largest pension funds are dominated by North American funds and reflect the impact of fund size. The results are from the largest pension funds and may not be representative of the entire industry; the positive findings from European funds reflect a material subset of the global asset owners; and, we do not engage directly with the funds in question. Measurements are sourced from public disclosure. Originality/value-The lack of public disclosure of RI by North American funds suggests that these institutions do not believe that it is important to investors. It suggests that these asset owners haven't yet been exposed to the same influences as European funds. Given that North American funds together own substantial interests in listed corporations, they are much more important to influence than corporations.
In this trading strategy study, we ask three questions. First, does momentum exist in foreign exchange markets? Second, what is the impact of transactions costs on excess returns? And, third, can a consolidated trading signal garner excess returns and, if so, what is the source of such returns? Using total return momentum strategies in the foreign exchange markets of the G7 for the period 1980 through 2004, the answers from this study are as follows: we find evidence of momentum; however, such momentum appears transitory, particularly for longer look back periods. As expected, transaction costs have a material negative impact on excess returns. Finally, a consolidated signal garners excess returns; however, a bootstrap simulation finds the source of these returns is a function of autocorrelation.
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