Alternative beta strategies can serve a variety of different investment objectives, which may include reducing volatility or achieving tilts to systematic risk exposures. It is therefore essential for investors to examine whether these strategies meet their own investment objectives and...

Term premiums, defined as the excess return of long-dated contracts over short-dated contracts, in commodity futures are strongly predictable, both in the time series and in the cross section, by roll yield spreads. Strategies that exploit this predictability show sizable Sharpe ratios and are...

We investigate the determinants of the commodity (ex-ante) risk premia for different maturities through the lens of a model of adaptive learning in which expected future spot prices are revised based on past prediction errors and changes in economic fundamentals. The main results show that risk...