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Abstract
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
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Commodity Strategies
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