RT Journal Article SR Electronic T1 Harvesting Commodity Curve Premiums Through Roll-Yield Differentials JF The Journal of Alternative Investments FD Institutional Investor Journals SP 51 OP 60 DO 10.3905/jai.2015.18.2.051 VO 18 IS 2 A1 Mathieu Gomes YR 2015 UL https://pm-research.com/content/18/2/51.abstract 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