This article formally compares two traditional long-only commodity indices, S&P-GSCI and DJ-UBSCI, with their enhanced versions that exploit signals based on contract maturity, momentum and term structure. The enhanced indices are found to be useful for tactical asset allocation. With alphas...

This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies in commodity futures markets. With significant annualized alphas of 10.14% and 12.66% respectively, the momentum and term structure strategies appear profitable when...

This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies in commodity futures markets. With significant annualized alphas of 10.14% and 12.66%, respectively, the momentum and term structure strategies appear profitable when...