This paper explores the source(s) of commodity futures momentum and an associated anomaly. We decompose the 12-month conventional momentum strategy into single-month momentum components. Historical information in the cross-section of returns at 10 to 11 months prior to portfolio formation...

We investigate the investability of commodity risk premia in China. Previously documented standard momentum, carry and basis-momentum factors are not investable due to the unique liquidity patterns along the futures curves in China. However, dynamic rolling and strategic portfolio weights...

This study examines the relationship between commodity futures and global stocks. For the first time, we examine the financialization of commodity futures by employing a quantile regression approach. From 2004-2013, we confirm a strong degree of dependence in energy commodities with moderate...