Futures Strategy

Investment Summary
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.

MacroVar offers 300+ Investment Strategies with higher returns, lower risk and losses than the TU Momentum Strategy

Investment Performance
Investment Return (?):18.2%Volatility (?):12.5%Sharpe Ratio:1.35Maximum 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 StrategyInvestment Risk:2/5 Low RiskBacktest Range:30-40 yearsRebalancing period:Daily
Investment Strategy Markets:
Feedback
Feedback
How would you rate your experience?
Do you have any additional comment?
Next
Enter your email if you'd like us to contact you regarding with your feedback.
Back
Submit
Thank you for submitting your feedback!