Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
We provide evidence that a simple moving average timing strategy, when applied to portfolios of commodity futures, can generate superior performance to the buy-and-hold strategy. The outperformance is very robust. It can survive the transaction costs in the futures markets, it is not concentrated in a particular subperiod, and is robust to short-sale constraints, alternative specifications of the moving average lag length, alternative construction of the continuous time-series of futures prices, and impact from data mining. The outperformance of the timing strategy is not driven by the backwardation and contango. It is stronger during recession and can not be explained by macroeconomic variables. Finally, we confirm that the outperformance of the moving average timing strategy in the commodity futures comes from the successful market timing.