@article {Basu9, author = {Devraj Basu and Jo{\"e}lle Miffre}, title = {The Performance of Simple DynamicCommodity Strategies}, volume = {16}, number = {1}, pages = {9--18}, year = {2013}, doi = {10.3905/jai.2013.16.1.009}, publisher = {Institutional Investor Journals Umbrella}, 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 {\textquotedblleft}phases of backwardation{\textquotedblright} even during a commodity bull market.TOPICS: Commodities, passive strategies, performance measurement}, issn = {1520-3255}, URL = {https://jai.pm-research.com/content/16/1/9}, eprint = {https://jai.pm-research.com/content/16/1/9.full.pdf}, journal = {The Journal of Alternative Investments} }