Producers and consumers of commodities are likely to trade commodity futures with the dual intention of mitigating spot price risk and extracting profits through speculation, a practice known as selectively hedging. We put forward an integrated-signal approach to selective hedging that...

This article compares traditional hedging that aims at covering spot price risk and selective hedging that also speculates by forecasting futures price changes. The selective hedges we consider use different forecasts that range from the historical average return to (V)AR model projections,...

The article presents strong evidence in favor of long-short (as opposed to long-only) commodity investments. We show that long-short fully-collateralized commodity portfolios based on momentum, term structure or hedging pressure present higher Sharpe ratios, lower volatility and lower...