Futures Strategy

Investment Summary
The Futures Strategy is executed by buying a portfolio of Futures in backwardation, shorting a portfolio of futures in contango aiming at canceling out returns of spot prices and extract the favorable roll returns. 52 physical commodities are ranked every day based on their 12-month return and the future with the highest return for 1 month is bought and held while the future with lowest return is shorted.

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Investment Performance (Good Investment Selection Guide)
Investment Return (?): 18.2% Volatility (?): 12.5% Sharpe Ratio: 1.35 Maximum Drawdown: -9.5%

Investment’s Fundamental Concept:
A cross sectional Futures Momentum strategy is executed by buyinh a portfolio of futres in backwardation, shorting a portfolio of futures in contango aiming at canceling out returns of spot prices and extract the favorable roll returns.

Investment’s Logic:

A Futures Momentum strategy is executed by buyin a portfolio of futres in backwardation, shorting a portfolio of futures in contango aiming at canceling out returns of spot prices and extract the favorable roll returns. 52 physical commodities are ranked every day based on their 12-month return and the future with the highest return for 1 month is bought and held while the future with lowest return is shorted.

Other Investment Strategy Characteristics:
Investment Type: Momentum Strategy Investment Risk: 2/5 Low Risk Backtest Range: 30-40 years Rebalancing period: Daily
Investment Strategy Markets: