commodity_momentum_basket
戦略カテゴリ · commodity
Academic foundation
Asness-Moskowitz-Pedersen (2013) JoF & Moskowitz-Ooi-Pedersen (2012) JFE — Commodity 12-month TSMOM Sharpe 0.5+, universal across asset classes
Supported markets
commodity
戦略カテゴリ · commodity
Asness-Moskowitz-Pedersen (2013) JoF & Moskowitz-Ooi-Pedersen (2012) JFE — Commodity 12-month TSMOM Sharpe 0.5+, universal across asset classes