TY - JOUR T1 - Harvesting Commodity Curve Premiums Through Roll-Yield Differentials JF - The Journal of Alternative Investments SP - 51 LP - 60 DO - 10.3905/jai.2015.18.2.051 VL - 18 IS - 2 AU - Mathieu Gomes Y1 - 2015/09/30 UR - https://pm-research.com/content/18/2/51.abstract N2 - Commodity futures long–short strategies based on term-structure signals have been shown to produce consistent long-term abnormal returns. However, these strategies are quite risky and prone to substantial drawdowns from time to time as a result of their directional nature. Gomes shows that by targeting roll-yield differentials between highly correlated commodities, it is possible to partially neutralize spot price movements and attain a market-neutral strategy that generates consistent alpha.TOPICS: Commodities, futures and forward contracts, performance measurement ER -