Dynamic Commodity Timing Strategies

The Strategic and Tactical Value of Commodity Futures

“…Nijman and Swinkels found that nominal and real portfolio efficient frontiers can be improved by timing allocation to the GSCI in response to variation in a number of macroeconomic variables (bond yield, the rate of inflation, the term spread, and the default spread). Vrugt, Bauer, Molenaar, and Steenkamp (2004) found that GSCI return variation is affected by measures of the business cycle, the monetary environment, and market sentiment. These analyses suggest that commodity futures returns respond systematically to changes in "state" variables.…”

An Intersection–Union Test for the Sharpe Ratio

“…The literature provides a wide range of different investment strategies (see, e.g., Burgess 2000; Conrad and Kaul 1998;DeMiguel et al 2009;Menkhoff et al 2012;Sawik 2012;Shen et al 2007;Szakmary et al 2010;Vrugt et al 2004;Zagrodny 2003) and we are typically concerned with the question of whether a given investment strategy is optimal among a set of alternatives. 1 In order to validate our hypothesis, we usually compare the performance of our benchmark, e.g., its certainty 1 A different question is whether some asset universe allows the investor to achieve a higher performance compared to another asset universe (Hanke and Penev 2018).…”

Exploratory Study of Select Commodity and Equity Indices Around the Meltdown of 2008

“…Vrugt et al (2004) have shown in their work that for a long time, commodities were deemed inappropriate investments because of their perceived risky character. The disappointing performance and future prospects of traditional asset classes and the availability of data and commodity indices have rapidly changed this situation.…”