|
|
|
|
||||
|
||||
Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic VolatilityAna-Maria FuertesCass Business School, City University London Joelle MiffreEDHEC Business School Adrián Fernández-PérezUniversity of Las Palmas de Gran Canaria - Department of Quantitative Methods in Economics December 10, 2011 Abstract: This article demonstrates that momentum, term structure and idiosyncratic volatility signals in commodity futures markets are not overlapping which motivates the design of a new triple-screen strategy. Over the period between January 1985 and August 2011, systematically buying contracts with high past performance, high roll-yield and low idiosyncratic volatility, while shorting contracts with poor past performance, low roll-yields and high idiosyncratic volatility generates an average Sharpe ratio that is five times that of the S&P-GSCI. The triple-screen strategy dominates each of the individual strategies and its risk-adjusted performance cannot be attributed to overreaction, liquidity risk or neglecting transaction costs.
Number of Pages in PDF File: 34 Keywords: commodity futures, momentum, term structure, idiosyncratic volatility JEL Classification: G13, G14 working papers seriesDate posted: December 14, 2011 ; Last revised: February 20, 2013Suggested CitationContact Information
|
|
||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo4 in 0.766 seconds
