Triple-scoring strategy for commodities generates superior risk-adjusted performance
An analysis of commodity futures produces a strategy combing two ‘traditional’ signals – momentum and term structure – with idiosyncratic volatility in an easy to deploy triple-scoring scheme
Commodity futures have become widespread investment vehicles for both strategic and tactical asset allocation purposes. It is well known that commodity momentum and term structure signals enable long/short strategies with superior performance to long-only positions such as passive S&P-GSCI tracking (Erb and Harvey, 2006; Miffre and Rallis, 2007; Szakmary et al, 2010; Fuertes et al, 2010; Gorton et al, 2012; Basu and Miffre, 2013).
The momentum strategy essentially exploits a measure of relative
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