Abstract:
The performance of individual momentum, term structure, and idiosyncratic volatility
commodity futures trading strategies based on trading signals, as well as double and triple
combinations of the latter three, is demonstrated in this study. The profitability of these strategies
calls into question the weak form of the efficient market hypothesis because the signals are based
on past public trading information. Robustness analysis for the recent decade and sensitivity
analysis on the breadth of the futures portfolio were conducted