RT Journal Article
SR Electronic
T1 The Performance of Simple Dynamic<br/>Commodity Strategies
JF The Journal of Alternative Investments
FD Institutional Investor Journals
SP 9
OP 18
DO 10.3905/jai.2013.16.1.009
VO 16
IS 1
A1 Devraj Basu
A1 Joëlle Miffre
YR 2013
UL https://pm-research.com/content/16/1/9.abstract
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