The article tests for the presence of short-term continuation and long-term reversal in commodity
futures prices. While contrarian strategies do not work, the article identifies 13 profitable …

This article reviews recent academic studies that analyze the performance of long-short
strategies in commodity futures markets. Special attention is devoted to the strategies based on …

This paper examines the combined role of momentum and term structure signals for the design
of profitable trading strategies in commodity futures markets. With significant annualized …

We construct long–short factor mimicking portfolios that capture the hedging pressure risk
premium of commodity futures. We consider single sorts based on the open interests of …

The article studies the conditional correlations between 25 commodity futures and 13 stock
and fixed-income indices. Conditional correlations with equity returns fell over time, a sign …

This article studies the relation between the skewness of commodity futures returns and
expected returns. A trading strategy that takes long positions in commodity futures with the most …

This study assesses whether the widely documented momentum profits can be attributed to
time-varying risk as described by a GJR-GARCH(1,1)-M model. We reveal that momentum …

The article studies the temporal variations in the conditional return correlations between
commodity futures and traditional asset classes (global stock and fixed-income indices). We …

This article demonstrates that momentum, term structure, and idiosyncratic volatility signals
in commodity futures markets are not overlapping, which inspires a novel triple‐screen …

The paper shows that country-specific exchange traded funds (hereafter ETFs) enhance
global asset allocation strategies. Because ETFs can be sold short even on a downtick, global …