AN EMPIRICAL EVALUATION OF COMMODITY FUTURES TRADING STRATEGIES BASED ON PAST PUBLIC INFORMATION

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