Results | Commodity Factor Replication

Compact Evidence

Strategy	Annualised return	Annualised volatility	Maximum drawdown	Sharpe
Main/sub-main carry, K=90	9.5%	7.0%	-11.9%	1.35
Front/next carry, K=90	13.0%	7.1%	-9.1%	1.84
Spot/main basis, K=50	8.1%	6.4%	-11.5%	1.27
Warehouse receipts, K=90	6.2%	7.7%	-15.4%	0.81

All four rows cover 2010-01-04 to 2022-02-28. They are gross backtest outputs, before trading frictions.

The front/next carry signal has mean weekly Spearman IC of 0.071 (IR 0.263, 571 weekly observations). The IC correlation figure supports using combination rules that acknowledge shared information rather than assuming all signals are independent.

The available 100-score term-structure blend produces 11.8% annualised return, 7.2% annualised volatility, and 1.65 Sharpe. Its inputs are C_FrontNext_k90, C_MainSub_k20, and C_SpotMain_k100. The broader multi-factor table reports unavailable components explicitly; it should not be read as a complete five-family implementation.

Figure language note. The charts retain their original Chinese plot labels to preserve faithful replication evidence. English captions and accompanying text explain the research context; they are bilingual artifacts, not translated market data.

Provenance

See results provenance for table-level source scripts, sample periods, and replication status. The downloadable tables are compact aggregates only.