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.

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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:

Futures Strategy

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