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Long-short commodities portfolio: dynamic allocation based on term structure
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| 1.41 MB | Adobe PDF |
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This report examines the performance of a quantitative investment strategy in commodity futures that incorporates term-structure information. A weekly rebalanced long-short portfolio of distant futures contracts based on the roll-yield provides significantly higher risk-adjusted returns than the second month contracts. Controlling for reasonable transaction costs and excluding the most illiquid contracts, the performance is superior to the second month contracts and especially to the benchmarks like the GSCI index and long-only GSCI constituents portfolio. Hence, it is a valuable addition to our group strategy which combines it with four equity strategies and significantly outperforms the S&P500 on a risk-adjusted basis.
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Finance Financial markets Financial or data analysis Commodities Futures Backwardation Contango Roll yield