Commodity Futures Return Asymmetry Ranking Strategy

Summary

This strategy ranks commodity futures by an empirical measure of return asymmetry. At each monthly rebalance, it counts daily returns over the previous 260 trading days that exceed the mean by more than two standard deviations, then subtracts the count below the mean by more than two standard deviations. It buys the seven lowest-ranked commodities and shorts the seven highest, with equal weights on each side.

The document provides implementation details for a futures universe, rolling price history, monthly rebalancing, and a fee model. It does not report performance results or risk-adjusted measures. The code’s listed instruments differ from the stated 22-commodity universe, and the ticker list appears to contain a missing separator that may affect execution. Continuous-contract data, return calculations, costs, leverage, and portfolio exposure also shape results, so the method needs careful validation before use.

Key ideas

• The asymmetry measure is the count of extreme positive returns minus the count of extreme negative returns over a rolling 260-day window.
• The strategy buys seven commodities with the lowest measure and shorts seven with the highest.
• Positions are equally weighted within each side and refreshed monthly.
• The implementation’s universe and ticker list contain discrepancies that warrant checking.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.