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Stats › Devises et matières premières › Commodity basis

The commodity basis trade is the rare edge that passed its own out-of-sample test

In sample 1959 to 2004: 9.20%+9.20%Dans l'échantillon1959 to 2004Out of sample 2005 to 2014: 10.41%+10.41%Hors échantillon2005 to 2014Full sample 1959 to 2014: 9.42%+9.42%Full sample1959 to 2014

Annualised return to the high-minus-low basis portfolio, all three measured on the same construction by the same authors. t statistics 4.60, 3.28 and 5.43. Sharpe ratios 0.68, 1.04 and 0.76.

Most published anomalies shrink once the paper is out. Sorting commodity futures on the slope of their own forward curve returned 10.04% a year from 1959 to 2004, and when the original authors tested 2005 to 2014 it returned 10.41%.

10.04%Annualised return to the high-minus-low basis portfolio, t = 5.15, 1959 to 2004
10.41%The same portfolio out of sample, 2005 to 2014, t = 3.28
t = 0.27Difference in means between the in-sample and out-of-sample periods
FourIndependent samples and research groups reporting a consistent magnitude

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