Trend-following and Momentum Strategies in Futures Markets

ExEd-Finance BoxResearchers: Dr Robert Kosowski and Dr Nick Baltas

We study momentum and trend-following strategies in a large cross-section of futures markets including energy commodities. Such strategies are followed by Commodity Trading Advisors (CTA) which have grown in importance of the last years and are receiving more and more attention from physical commodity traders. The trading activity of CTA has an impact on futures prices in different financial and commodity futures and we model these patters. We also examine the effect of inflows into CTAs on the performance of such strategies. This research is relevant for market participants in futures markets including energy commodities such natural gas, crude oil, etc.