PT  - JOURNAL ARTICLE
AU  - Denis B. Chaves
TI  - Time-Varying Risk Premiums and Term Premiums in Commodity Futures
AID  - 10.3905/jai.2017.19.4.039
DP  - 2017 Mar 31
TA  - The Journal of Alternative Investments
PG  - 39--52
VI  - 19
IP  - 4
4099  - https://pm-research.com/content/19/4/39.short
4100  - https://pm-research.com/content/19/4/39.full
AB  - Term premiums, defined as the excess return of long-dated contracts over short-dated contracts, in commodity futures are strongly predictable, both in the time series and in the cross section, by roll yield spreads. Strategies that exploit this predictability show sizable Sharpe ratios and are uncorrelated with strategies that exploit predictability in risk premiums using the basis in futures prices, that is, use contango and backwardation conditions in futures market to develop their strategies.TOPICS: Commodities, futures and forward contracts, performance measurement