The Performance of Simple Dynamic Commodity Strategies

Posted: 4 Mar 2009 Last revised: 27 Jun 2014

See all articles by Devraj Basu

Devraj Basu

SKEMA Business School - Lille Campus

Joëlle Miffre

Audencia Nantes School of Management; Audencia Business School

Date Written: March 4, 2009

Abstract

We construct dynamic trading strategies based on the theories of Cootner (1960), Stoll (1979) and Hirshleifer (1990). These strategies are constructed using the aggregate positions of hedgers and speculators. Our active strategies applied to 13 liquid commodity futures outperform buy-and-hold strategies for 10 of the 13 commodities, suggesting that tactical trading is a source of enhanced performance in commodity futures markets. Our findings underline the importance of hedging both price risk and quantity risk, and point to the need to dynamically trade commodity futures.

Keywords: Commodity futures, Hedging pressure, Active strategies

JEL Classification: G13, G14

Suggested Citation

Basu, Devraj and Miffre, Joelle, The Performance of Simple Dynamic Commodity Strategies (March 4, 2009). Available at SSRN: https://ssrn.com/abstract=1353059 or http://dx.doi.org/10.2139/ssrn.1353059

Devraj Basu (Contact Author)

SKEMA Business School - Lille Campus ( email )

Avenue Willy Brandt, Euralille
Lille, 59777
France

Joelle Miffre

Audencia Nantes School of Management ( email )

8 route de la Jonelière, BP 31222
Nantes Cedex 3, Cedex 3 44312
France

Audencia Business School ( email )

8 Road Joneliere
BP 31222
Nantes Cedex 3, 44312
France

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