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.
Professor of Financial Econometrics, Cass Business School
Professor of Finance, EDHEC Business School
Research Fellow, Universidad de Las Palmas de Gran Canaria
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.
|Research Cluster :||Finance|