Return and Risk in Commodity Futures Programs

22 Pages Posted: 20 May 2015

See all articles by Hilary Till

Hilary Till

Premia Research LLC; Commodity Insights Digest (a publication of Bayes Business School)

Date Written: May 19, 2006

Abstract

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 an investor. In addition, the paper discusses some of the dynamic correlation properties of commodity futures contracts. Finally, the paper examines the prospects of the main constituent of the dominant commodity index – oil – and provides a framework for understanding what could potentially drive future returns.

Keywords: commodity futures, returns, risk, portfolio

JEL Classification: G1, G11

Suggested Citation

Till, Hilary, Return and Risk in Commodity Futures Programs (May 19, 2006). Available at SSRN: https://ssrn.com/abstract=2608076 or http://dx.doi.org/10.2139/ssrn.2608076

Hilary Till (Contact Author)

Premia Research LLC ( email )

Chicago, IL
United States
312-583-1137 (Phone)
312-873-3914 (Fax)

HOME PAGE: http://www.spglobal.com/spdji/en/custom-index-calculations/premia/all/

Commodity Insights Digest (a publication of Bayes Business School) ( email )

London
United Kingdom

HOME PAGE: http://www.bayes-cid.com

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
79
Abstract Views
641
Rank
555,299
PlumX Metrics