Purpose: The literature has demonstrated that lump-sum (LS) outperforms dollar-cost averaging (DCA) in uptrend markets while DCA outperforms LS only when the asset price is mean-reverted or downtrend. To bridge the gap in the literature, this study aims to use both Sharpe ratio (SR) and...

Using settlement prices and nine years of daily commitments for large reporting traders in the frozen pork bellies futures market, the authors find that these traders generate significant profits and the distribution of trader returns over time is not random. Further analysis finds that a subset...