This master thesis, first, re‐examines the performance of the double‐sort trading strategy on commodity futures using the data from January 1979 to October 2011. The double‐sort strategy is an active strategy that uses momentum and term-­structure signals to form a long‐short portfolio of commodity futures. Second, the performance of the strategy is studied before the beginning of the financial crisis at 2007 and compared to the performance of the strategy during the crisis, i.e. after 2007. We find that the strategy performs better during the crisis. Third, in an effort to reduce the risk measures of the strategy, stop‐loss methods are introduced and added to the strategy. Four different stop‐loss methods are implemented: cumulative, exponentially weighted average, consecutive, and full‐portfolio stop‐loss. We find that none of these methods are able to reduce the risk‐measures of the strategy considerably.

Keywords: commodity futures, trading strategy, momentum, term-structure

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