• 市场因子（Market Factor：an equally weighted average of all 21 commodities’ one period spot return）
• 时间序列动量因子（Time Series Momentum Factor: the difference in return between an equally weighted portfolio of commodities with a positive return over the previous twelve months and one with a negative return over the previous twelve months）
• 高/低期限风险溢价（High/Low Term Premia Factors: the average of the 2-month, 4-month, and 6-month realized term premia for the 10 commodities with above/below median basis）
  

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