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- W4297129189 abstract "Over the past few decades, the futures market has become more and more robust and welcomed more investors. This paper makes a back test to explore the feasibility and evaluate the performance of the term structure strategy of commodities in the Chinese Futures Market. In the context of the real futures market from 2010–2020, the strategy is simulated by longing the highest-20%-roll-return commodities and shorting the lowest-20%-roll-return commodities among the total 40 commodities with relatively high liquidity. It is witnessed that the expected return on average is 60.75% and the Sharpe ratio is about 0.7–0.9. Based on the predicted model, this strategy is recommended and expected to have a promising result. However, it requires investors to have a higher-risk preference and is dependent on the model flexibility and information efficiency." @default.
- W4297129189 created "2022-09-27" @default.
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- W4297129189 date "2022-01-01" @default.
- W4297129189 modified "2023-09-28" @default.
- W4297129189 title "Performance Estimate of Term Structure Strategy of Commodities in Chinese Futures Market over the Recent Decade" @default.
- W4297129189 doi "https://doi.org/10.1007/978-981-19-5727-7_40" @default.
- W4297129189 hasPublicationYear "2022" @default.
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