quantpedia - arcturus9/useful-link GitHub Wiki

[Term Structure Effect in Commodities]
https://quantpedia.com/strategies/term-structure-effect-in-commodities/
-- If the supply by short hedgers exceeds the demand by long hedgers (namely, hedgers are net short), the futures price today has to be a downward-biased estimate of the futures price at maturity. (숏 헤지 수급이 우세함을 이용)
-- term-structure strategies come with lower maximum drawdowns, higher maximum run-ups, and both lower minimum and higher maximum 12-month rolling returns than the benchmark (텀 스트럭쳐 이용시, 리스크-수익률 비율 좋음)
-- Erb and Harvey in “The Tactical and Strategic Value of Commodity Futures” state that historically, the average annualized excess return of individual commodity futures has been approximately zero, and commodity futures returns have been mostly uncorrelated with one another. (상품선물은 다른 자산과 상관계수 낮음!)
-- An interesting view on this topic can also be found in the work of Durr and Voegeli: Structural Properties of Commodity Futures Term Structures and Their Implications for Basic Trading Strategies (상품 특성 보여주는 논문)

[Momentum Effect in Commodities]
https://quantpedia.com/strategies/momentum-effect-in-commodities/
-- Firstly, commodity-based long-short strategies minimize transaction costs.(거래비용 낮음!)
-- Nextly, the commodity momentum strategies trade liquid contracts with nearby maturities and commodities do not have any troubles with the short-selling restrictions that are often imposed in equity markets. (공매도 쉬움!)
-- Adding the fact, that this strategy only focuses on 31 commodity futures (as opposed to hundreds or thousands of stocks), it is very unlikely that the abnormal returns identified by the paper would be eroded by the costs of implementing the momentum strategy or will be a compensation for lack of liquidity (모멘텀 전략!)
-- Switzer and Jiang in the “Market Efficiency and the Risks and Returns of Dynamic Trading Strategies with Commodity Futures“, have found that significant momentum profits are identified in both outright futures and spread trading strategies when the spot premium and the term premium are used to form winner and loser portfolios.(모멘텀 이익!)
-- A good point is also in the work of Blitz and De Groot: “Strategic Allocation to Commodity Factor Premiums“. The authors have confirmed the existence of sizable momentum, carry and low-volatility factor premiums in the commodity market and argue that investors should consider these commodity factor premiums when determining their strategic asset allocation. ...exhibits a significantly better risk-adjusted performance than the commodity market portfolio and adds significant value to a conventional stock/bond portfolio (상품 추가하면 좋아짐!)