Measuring the risk-adjusted performance of selected soft agricultural commodities

In this paper, we used several elaborate return-to-risk methods to investigate the risk-adjusted performances of five soft commodities. Regarding only level risk, found that cocoa had highest risk losses, followed by orange juice. Cotton and coffee lowest losses. However, according output, cotton was worst asset in which invest because it negative average returns. contradistinction, sugar a relatively high losses but also returns, put first place Sharpe, Sortino modified Sharpe ratios. Although juice second-worst downside performance, came second ratio