Two new strategies have been added:

#261 – Trading Commodity Calendar Spreads
#262 – Timing Commodity Factor Portfolios

Three new related research paper have been included into existing strategy reviews. And three additional related research paper have been included into existing free strategy reviews during last 2 weeks.

#21 – Momentum Effect in Commodities
#22 – Term Structure Effect in Commodities

Authors: Zaremba

Title: Strategies Based on Momentum and Term Structure in Financialized Commodity Markets

Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2469407

Abstract:

The aim of this paper is to investigate the impact of the financialization of commodity markets on the profitability of strategies based on momentum and term structure. The performance of an array of portfolios from double-sorts on non-commercial traders’ participation, historical returns and term spreads is tested against a risk model. Both strategies reveal better performance in case of commodity markets with low financialization level and generate little profits in the markets with a significant participation of investors. The findings of this study can be used for the purposes of tactical and strategic asset allocation.

Notable quotations from the paper:

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