We propose a method to overlay the tone of commodity-specific newswires upon the commodity characteristics traditionally used in long-short portfolio allocations. Implementing the tone-overlay strategy on 26 commodities generates substantial risk-adjusted profitability gains relative to the...

We propose a method to overlay the tone of commodity-specific newswires upon the commodity characteristics traditionally used in long-short portfolio allocations. Implementing the tone-overlay strategy on 26 commodities generates substantial risk-adjusted profitability gains relative to the...

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 studies the link between individual investors' portfolio diversification levels and various personal traits that proxy informational advantages and overconfidence. The analysis is based on objective data from the largest Turkish brokerage house tracking 59,951 individual investors'...