We test theoretical drivers of the oil price beta of oil industry stocks. The strongest statistical and economic support comes for market conditions - type variables as the prime drivers: namely, oil price, bond rate, volatility of oil returns and cost of carry. Though statistically significant,...

This paper develops a long-short portfolio construction technique that captures the fundamentals of backwardation and contango and simultaneously deviates from the equal-weighting scheme traditionally employed in the commodity literature. We find that the sophisticated weighting schemes based on...

We contribute to the literature on the diversification benefits of commodity futures by integrating it with the literature on style integration. Our work augments the traditional asset mix of investors with a long-short portfolio that integrates the styles that matter to the pricing of commodity...