Commodity momentum decomposition

Yasuhiro Iwanaga, Ryuta Sakemoto

Research output: Contribution to journalArticlepeer-review


This study decomposes the momentum factor (MOM) in the commodity futures market. A high-to-price (HTP) factor generates a higher Sharpe ratio than a price-to-high (PTH) factor. We uncover that the profitability mechanisms across three momentum factors are different. The positive returns on MOM and PTH are associated with overconfidence and strong self-attribution. In contrast, HTP is linked to investors' underreaction and the information diffusion process. Moreover, we find that positive demand shocks raise the return on HTP.

Original languageEnglish
JournalJournal of Futures Markets
Publication statusAccepted/In press - 2022


  • commodity futures
  • decomposition
  • momentum

ASJC Scopus subject areas

  • Accounting
  • Business, Management and Accounting(all)
  • Finance
  • Economics and Econometrics


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