Economics, Econometrics and Finance
5 years ago

New trading strategy outperforms benchmark in total returns and Sharpe ratio!

SSRN Electronic Journal
Commodity and Exchange Traded Fund Pairs Trading Strategy
Alexander Joshua Michael Fish, Anant Patel, Shankar Venkatraman

Paper Summary

A trading strategy using pairs of commodity index-ETFs was tested from 2015 to 2018. The strategy outperformed the Bloomberg Commodities Index in total returns and risk-adjusted returns for some years, but not significantly overall.

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