There is a growing literature examining futures based trading strategies and the performance of Commodity Trading Advisors (CTAs). In this paper, we test the validity of three key assumptions used in these studies. The validity of basing conclusions on analysis of synthetic rather than market...

I develop and test a model to study the interaction between the commodity and stock markets. This study attempts to clarify the debate about the effect of financialization on commodity markets. Theoretically, the futures risk premium is determined by hedging pressure, stock market returns, and...

While much is known about the financialization of commodities, less is known about how to profitably invest in commodities. We develop a four-factor asset pricing model of commodity returns. Our four-factor model prices both commodity spot and term risk premia in an intuitive manner related to...

The paper explores different portfolio structures for a passive commodity investment. It finds that an equally-weighted portfolio of up to 30 commodities delivers a Sharpe ratio similar to that of equity indexes and Treasury bonds, with much lower volatility than popular commodity indexes....

This study decomposes a momentum factor (MOM) in the commodity futures market. A high-to-price (HTP) factor generates a higher Sharpe ratio than a price-to-high (PTH) factor. We uncover that the profitability mechanisms across three momentum factors are different. The positive returns on MOM and...

This paper reviews the literature on commodities from the perspective of an investor. We re-examine some of the early papers in the literature using recent data, and find that the empirical support for the Theory of Normal Backwardation as an explanation for the commodity risk premium is weak,...

In recent years, commodity markets have become increasingly popular among financial investors. In contrast to traditional markets such as equities or bonds for which many studies have identified various profitable investment strategies, less is known for commodity markets. In this paper, we...

This paper tests a wide range of momentum and reversal strategies at different trading frequencies for the complete Chinese commodity futures market dataset. Accurate estimates of transaction costs for each commodity and the minute level futures prices are utilized to obtain the most realistic...

This paper employs a unique data set to investigate the total price, liquidity and information effects of large institutional trades versus individual trades on three futures contracts traded on the Taiwan Futures Exchange. Several interesting results are obtained. We find that, for the entire...