The Futures Strategy is executed by buying a portfolio of Futures in backwardation, shorting a portfolio of futures in contango aiming at canceling out returns of spot prices and extract the favorable roll returns. 52 physical commodities are ranked every day based on their 12-month return and the future with the highest return for 1 month is bought and held while the future with lowest return is shorted.
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Investment Performance
Investment Return (?):
18.2%
Volatility (?):
12.5%
Sharpe Ratio:
1.35
Maximum Drawdown:
-9.5%
Investment’s Fundamental Concept:
A cross sectional Futures Momentum strategy is executed by buyinh a portfolio of futres in backwardation, shorting a portfolio of futures in contango aiming at canceling out returns of spot prices and extract the favorable roll returns.
Investment’s Logic:
A Futures Momentum strategy is executed by buyin a portfolio of futres in backwardation, shorting a portfolio of futures in contango aiming at canceling out returns of spot prices and extract the favorable roll returns. 52 physical commodities are ranked every day based on their 12-month return and the future with the highest return for 1 month is bought and held while the future with lowest return is shorted.
Other Investment Strategy Characteristics:
Investment Type:
Momentum Strategy
Investment Risk:
2/5 Low Risk
Backtest Range:
30-40 years
Rebalancing period:
Daily
Investment Strategy Markets:
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