PT - JOURNAL ARTICLE AU - Devraj Basu AU - Joëlle Miffre TI - The Performance of Simple Dynamic<br/>Commodity Strategies AID - 10.3905/jai.2013.16.1.009 DP - 2013 Jun 30 TA - The Journal of Alternative Investments PG - 9--18 VI - 16 IP - 1 4099 - https://pm-research.com/content/16/1/9.short 4100 - https://pm-research.com/content/16/1/9.full AB - The authors construct real-time trading strategies based on the dynamic theories of Cootner [1960], Stoll [1979], and Hirshleifer [1990]. These strategies are constructed using the aggregate positions of hedgers. For a sample of 10 liquid commodities they find broad support for these dynamic theories. The active long flat strategies outperform buy and hold strategies, even during a commodity bull market, suggesting that these actively managed strategies are better investments than passive indexes. The results illustrate the importance of being able to capture “phases of backwardation” even during a commodity bull market.TOPICS: Commodities, passive strategies, performance measurement