We study the returns to a simple trend following strategy in commodity futures markets and their drivers. Returns correlate positively to calendar spread liquidity and constraints on intermediation capital. The strategy delivers low annualized excess returns in the period from 1990 to 2004 of...

Financialization of commodity markets has been a broadly discussed topic in recent years. However, its implications for commodity investors have not yet been fully explored. This paper concentrates on the macroeconomic determinants of commodity returns in financialized and non-financialized...