We study the basic properties of an equally-weighted index of U.S. commodity futures from the perspective of a Japanese investor. We find that the returns on the U.S. equally-weighted commodity futures index maintain their basic properties, documented in Gorton and Rouwenhorst (2005), when...

Commodity futures risk premiums vary across commodities and over time depending on the level of physical inventories, as predicted by the Theory of Storage. Using a comprehensive dataset on 31 commodity futures and physical inventories between 1969 and 2006, we show that the convenience yield is...