commodity_momentum_basket
Asness-Moskowitz-Pedersen (2013) JoF & Moskowitz-Ooi-Pedersen (2012) JFE — Commodity 12-month TSMOM Sharpe 0.5+, universal across asset classes
Rolling Sharpe
—
90-day rolling window
Drawdown
—
peak-to-trough
Win Rate
—
0 fires · weight 0.00×
Current Status
State
Ensemble Weight—
Fires (90d)0
Last fired—
Methodology
Asness-Moskowitz-Pedersen (2013) JoF & Moskowitz-Ooi-Pedersen (2012) JFE — Commodity 12-month TSMOM Sharpe 0.5+, universal across asset classes
Supported Markets
Commodity
State Transition History
No state changes recorded yet