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Performance ranking (dis)similarities in commodity markets


  • Zhang, Hanxiong
  • Auer, Benjamin R.
  • Vortelinos, Dimitrios I.


In this article, we revisit recent evidence indicating that the choice of performance measure appears to be irrelevant for the ranking of investment alternatives in the commodity market. Extending the previous literature in several important ways, we provide the following insights into the rankings produced by the 13 most popular performance measures for 24 commodities. First, ranking differences are somewhat larger in the spot market than in the futures market. Second, when we use daily instead of monthly data, performance measures that model reward based on average returns still produce similar performance rankings. However, when data of higher frequency is used for performance measures modeling reward based on higher partial moments, performance rankings differ crucially from those produced by measures focusing on average returns. Finally, the degree of ranking (dis)similarity appears to vary over time. Empirically, then, the choice of performance measure can matter. Nevertheless, our findings do not invalidate recent theoretical results on ranking similarity, because population rankings may not be identical with sample rankings, which are subject to estimation error.

Suggested Citation

  • Zhang, Hanxiong & Auer, Benjamin R. & Vortelinos, Dimitrios I., 2018. "Performance ranking (dis)similarities in commodity markets," Global Finance Journal, Elsevier, vol. 35(C), pages 115-137.
  • Handle: RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137
    DOI: 10.1016/j.gfj.2017.09.001

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    More about this item


    Performance ranking; Commodity investments; Data frequency; Market phase dependency;

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G29 - Financial Economics - - Financial Institutions and Services - - - Other


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