a b s t r a c tThis paper examines profitable trading strategies that jointly exploit momentum and reversal signals in commodity futures. While the single-sort momentum strategies returns 11.14% per annum, on average, a consistent reversal pattern of momentum profits is pronounced from 12 to 30 months after portfolio formation. Combining the observed reversal pattern with the momentum signal, our double-sort strategy returns 20.24% per annum, which significantly outperforms single-sort strategies. The proposed strategy is robust to seasonality effects and sample adjustments in commodity futures. The profitability of the double-sort strategy cannot be explained by standard risk factors, term structure, market volatility, investor sentiment, data-mining or transaction costs, but appears to be related to global funding liquidity. As a consequence, the double-sort strategy in commodity futures may be employed as a portfolio diversification tool.

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chloronortricyclene (13x) (31%) and exo.endo-3-methoxy-5-chloronortricyclene (13,n) (18%), respectively, by nmr comparison with authentic samples.16 A third nonester product was assigned the structure exo.endo-3,5-dimethoxynortricyclene (14) (5%): nmr (CDCls) 3.97 ('os, 1), 3.52 (t, 1), 3.30 (s, 6), and 2.2-1.2 ppm (6); mass spectrum (70 eV) m/e 154 (M+). The major ester product was indentified as exo,exo-3-methoxy-5-carbomethoxynortricyclene (11) (34%) by vpc and nmr comparison with an authentic sample.7 The minor ester product was identified as methoxycarbomethoxynortricyclene (12) (10%): nmr (CDC13) 6.10 (dd, 1,