Investments into commodity-linked products have grown considerably in recent years. Unlike investments in equities, commodity futures markets produce no earnings; the source of returns is thus unclear. This paper examines returns to static long-only U.S. commodity futures investments over five...

This paper revisits the "adequacy of speculation" debate in agricultural futures markets using the positions held by index funds in the Commitment of Traders reports. Index fund positions were a relatively stable percentage of total open interest from 2006--2010. Traditional speculative measures...

Some market participants and policy-makers believe that index fund investment was a major driver of the 2007-2008 spike in commodity futures prices. One group of empirical studies does find evidence that commodity index investment had an impact on the level of futures prices. However, the data...

This paper evaluates the role that index funds have played in recent convergence problems of Chicago Board of Trade corn, soybean, and wheat futures contracts. These new market participants are widely considered to have inflated futures prices and/or expanded spreads between futures prices....