We introduce a return predictor related to the slope and curvature of the futures term structure: basis-momentum. Basis-momentum strongly outperforms benchmark characteristics in predicting commodity spot and term premiums in the time series and cross section. Exposure to basis-momentum is...

Equity returns are not very predictable despite the presence of many well-documented behavioral biases and risk factors. Why? We collect a comprehensive global dataset covering over 24,000 tradable equities and representing more than 99.9% of the market cap on developed exchanges. Analyzing...