Title: Investment strategies for energy assets
Authors: Thomas Alexopoulos - University of Peloponnese, Greece (Greece) [presenting]
Dimitrios Thomakos - University of Peloponnese (Greece)
Rafael Yahlomi - University of Peloponnese (Greece)
Abstract: A new investment strategy for Energy trading products is utilized, that can be used for hedging and risk management while accounting for the high volatility of this asset class. The strategy consists of exploiting three stylized empirical facts of asset returns, momentum, mean reversion and bubbles, by taking sequentially different segments of the data that are used in a functional-type of analysis. We illustrate the mechanics of the proposed method with real data either on Energy related ETFs or stocks, but also in Energy futures as their volume appears an increasing trend in many energy exchanges. Our results show that the proposed method can outperform other strategies, like a simple rebalancing strategy or the buy and hold benchmark, as it exhibits better risk return characteristics. More importantly, it appears that it can identify turning points relatively fast and is thus suitable for being used as a hedging and risk management tool in the highly unstable energy markets.