Commodity Futures Investing Strategies Based On 52‑Week Low Momentum And Term Structure

• Main Authors: HUANG,SHIH-HSUAN, 黃士軒
• Other Authors: HUANG,YU-CHUAN
• Format: Others
• Language: zh-TW
• Published: 2019
• Online Access: http://ndltd.ncl.edu.tw/handle/xm26e4

碩士 === 國立高雄科技大學 === 財務管理系 === 107 === 　　This paper examines the combined role of 52-week low momentum,term structure and idiosyncratic volatility signals for the design of triple-singals strategy in commodity futures markets. The period of research is from 2000 to 2017.The strategy buys highest roll-returns,lowest levels of idiosyncratic volatility and highest 52-week low ratio,shorts lowest roll-returns,highest levels of idiosyncratic volatility and lowest 52-week low ratio.Triple-singals strategy average monthly return is 2.86% and annual return is 11.55%.Regardless of return and risk performance , which are better than the performance of every singal and S&P-GSCI.Double-singals strategy annual return is 11.93% and average monthly return is 3.079%. Double-singals strategy is better than triple-singals strategy.