PT - JOURNAL ARTICLE AU - Mathieu Gomes TI - Harvesting Commodity Curve Premiums Through Roll-Yield Differentials AID - 10.3905/jai.2015.18.2.051 DP - 2015 Sep 30 TA - The Journal of Alternative Investments PG - 51--60 VI - 18 IP - 2 4099 - https://pm-research.com/content/18/2/51.short 4100 - https://pm-research.com/content/18/2/51.full AB - 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