This thesis investigates the momentum effect in the commodity market. The research approach used in this thesis is deductive and quantitative, utilizing daily data for 23 commodity future contracts with a time frame ranging from 2007 to 2024. Two different portfolio formation techniques are employed with various formation and holding periods, following the method of Moskowitz et al. (2012). 

Findings show significant momentum effects in short term horizons for both holding and formation periods, with the optimal portfolio with one-month formation and holding period yielding 0,45% monthly return (see table 4.1). The strategy has exceptional performance during recession periods, with the volatility-adjusted long-short portfolio (one-month formation, three-month holding period) achieving monthly returns of 2.98%. The persistence of significant alpha in the five-factor model, particularly in short horizons, indicates that momentum represents both market inefficiency and risk premium components.