This is an update to our commodity roll yield and momentum strategy. Since the last update, the top five ranked commodities, as measured by their respective ETFs, lost 2.9%, while the bottom five ranked commodities lost 3.6%. That’s not a big difference in performance, but obviously, a strategy doesn’t perform well each month.
It’s been way too long since we’ve last updated our roll yield and momentum tables. In addition, Teucrium just launched three agriculture ETFs, two of which are firsts for the commodities they track, wheat and soybeans. So below we’ve updated the table with rankings of roll yield, momentum, and a combination of the two.
Several month ago, I ranked commodities for which there are corresponding ETFs by momentum and roll yield. Since then, I’ve gotten a few request to update the table and commodity markets have changed much since then, so I’m going to try to update it periodically.
For the methodology, see the previous two posts, here, and here.
This is an update to the country rotation strategy outlined a while ago. It ranks stock markets of developed markets and a few major emerging markets by valuation and momentum.
