Journal of Futures Markets, 2015, 35, 3, 274-297
41 Pages Posted: 14 Dec 2011 Last revised: 10 Nov 2015
Date Written: November 1, 2013
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 which 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.
Keywords: commodity futures, momentum, term structure, idiosyncratic volatility
JEL Classification: G13, G14
Suggested Citation: Suggested Citation
Fuertes, Ana-Maria and Miffre, Joëlle and Fernandez-Perez, Adrian, Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility (November 1, 2013). Journal of Futures Markets, 2015, 35, 3, 274-297. Available at SSRN: https://ssrn.com/abstract=1971917 or http://dx.doi.org/10.2139/ssrn.1971917