Commodity Strategies Based on Momentum, Term Structure, and Idiosyncratic Volatility
<section xml:id="fut21656-sec-0001"> This article demonstrates that momentum, term structure, and idiosyncratic volatility signals in commodity futures markets are not overlapping, which inspires a novel triple‐screen strategy. We show that simultaneously buying contracts with high past performance, high roll‐yields, and low idiosyncratic volatility, and shorting contracts with poor past performance, low roll‐yields, and high idiosyncratic volatility yields a Sharpe ratio over the 1985 to 2011 period that is five times that of the S&P‐GSCI. The triple‐screen strategy dominates the double‐screen and individual strategies and this outcome cannot be attributed to overreaction, liquidity risk, transaction costs, or the financialization of commodity futures markets. © 2014 Wiley Periodicals, Inc. Jrl Fut Mark 35:274–297, 2015 </section>
Year of publication: |
2015
|
---|---|
Authors: | Ana‐Maria Fuertes ; Miffre, Joëlle ; Adrian Fernandez‐Perez |
Published in: |
Journal of Futures Markets. - John Wiley & Sons, Ltd.. - Vol. 35.2015, 3, p. 274-297
|
Publisher: |
John Wiley & Sons, Ltd. |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Fan, John Hua, (2019)
-
Strategic and Tactical Roles of Enhanced Commodity Indices
Rallis, Georgios, (2013)
-
Strategic and Tactical Roles of Enhanced Commodity Indices
Rallis, Georgios, (2013)
- More ...