Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility

Ana-Maria Fuertes, Joëlle Miffre, Adrian Fernandez-Perez: 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 triplescreen strategy.

Author(s) :

Ana-Maria Fuertes

Professor of Financial Econometrics, Cass Business School

Joelle Miffre

Professor of Finance, EDHEC Business School

Adrian Fernandez-Perez

Research Fellow, Universidad de Las Palmas de Gran Canaria

Presentation :

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.
Pdf
Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatil...
(990.29 KB)
Type : Working paper
Date : le 11/02/2013
Extra information : For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster : Finance

See Also

EDHEC consolidates its position as a world-leading school for business and entrepreneurship
- 03-07-2017
Founded by entrepreneurs, EDHEC has embraced the fundamental values of business for...
Station F successfully inaugurated in the presence of Emmanuel Macron and EDHEC
- 29-06-2017
EDHEC announced this May that it had joined Station F, the world’s biggest start-up...
- 22-06-2017
Peter Daly and Dennis Davy, professors at EDHEC Business School specialised in Language...
Financial Times ranking 2017: #1 Master in Finance Worldwide
- 19-06-2017
EDHEC Business School’s Master in Finance tops the Financial Times Masters in Finance...