Triple-scoring strategy for commodities generates superior risk-adjusted performance

Triple scoring of commodities: momentum, term structure and idiosyncratic volatility

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Commodity futures have become widespread investment vehicles for strategic and tactical asset allocation

Commodity futures have become widespread investment vehicles for both strategic and tactical asset allocation purposes. It is well known that commodity momentum and term structure signals enable long/short strategies with superior performance to long-only positions such as passive S&P-GSCI tracking (Erb and Harvey, 2006; Miffre and Rallis, 2007; Szakmary et al, 2010; Fuertes et al, 2010; Gorton et al, 2012; Basu and Miffre, 2013).

The momentum strategy essentially exploits a measure of relative