Strategies · Core
Momentum Effect in Commodities
Long commodity futures with the strongest trailing returns and short the weakest — cross-sectional commodity momentum.
Definition
Rank liquid commodity futures on 1–12 month return, long winners, short losers, monthly. Roll rules and contract choice are first-class. Distinct from term-structure / carry (backwardation).
Why it matters
It is a core CTA-adjacent factor. Energy and grains can dominate the rank.
Case
A 2020–22 energy winner book that became a one-factor oil bet. Cross-section of 12 names is not a diversified CTA.
How to read it
Lookback, roll, and sector caps. Pair with carry (curve) so you know which premium you own.
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