This paper studies optimal calendar spreads in commodity futures markets while taking into account a stochastic convenience yield. We show that a convenience yield imperfectly correlated with the spot commmodity price results in an optimal strategy composed of two commodity futures contracts....

This paper provides some preliminary contributions to the debate over the sources of return in the commodity markets, based on work that is drawn from the 2007 Risk Book, Intelligent Commodity Investing. Essentially, Till (2007) and Feldman and Till (2006) find that in examining a 55-year period...

This paper examines the role of term structure versus spot price trends in determining commodity futures returns. The paper reviews backwardation and discusses how over very long timeframes, the term structure of a commodity futures curve has been the dominant driver of returns for individual...

Broadly speaking, there are seven strands of literature on commodity pricing theory, which we summarize as follows: The insurance role of commodity futures contracts, which emphasizes the role of the speculator; the theory of storage, which emphasizes the behavior of the inventory holder and...

This paper discusses how commodity returns had in the past mainly relied on portfolio effects and term-structure properties of individual commodity futures contracts. But the paper also notes that rare trend shifts, as occurred in the early 1970's, can also be a meaningful source of returns for...

Based on the existent possible explanations of oil futures term structure, this study provides a more fundamental view, which has a theoretical support from the theory of storage and well-suited intuitions in correspondence with reality. By using structural econometrical models, it divides oil...

In this paper, we propose an easy-to-use yet comprehensive model for a system of cointegrated commodity prices. While retaining the exponential affine structure of previous approaches, our model allows for an arbitrary number of cointegration relationships. We show that the cointegration...

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...

The aim of this paper is to investigate the impact of the financialization of commodity markets on the profitability of strategies based on momentum and term structure. The performance of an array of portfolios from double-sorts on non-commercial traders' participation, historical returns and...

This paper examines the informational content of commodity futures term structures over time. Time series of commodity prices and returns are analyzed by means of static and rolling principal component analysis. We use weekly data from January 1998 to July 2009 of 23 commodity underlyings from...