One-week holding. 17.6% annual returns and 1.42 Sharpe. Zero exposure to known risk factors.

A new paper reveals that the spread between front- and second-month futures reverses week to week. This “short-term basis reversal” is:

• Predictable,

• Unexplained by carry or momentum,

• Strongest when volatility is high.

The strategy? Go against last week’s spread — across commodities, bonds, and even stock index futures.

Short-Term Basis Reversal by Rossi, Zhang, and Zhu (2025)

This paper is so simple, I will implement and share shortly :)