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 …

This paper studies the unique rolling activity of commodity index in futures markets and
shows that the resulting price impact is statistically and economically significant. Two trading …

This paper examines the role of speculative motives in the determination of commodity
prices and specifically food related commodity prices. The motivation for this study is the …

We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

Systematic momentum trading is a prevalent risk premium strategy in different portfolios.
This paper focuses on the performance of the managed futures strategy based on the …

The study focuses on examining the price discovery process, short run disturbances and
hedging mechanism of agricultural and metal commodities futures market for the period …

This article discusses the necessity of managing the futures contract roll and argues that
most commodity index providers set futures rollover rules in an inefficient manner. Generally …

Academic and practitioner research has presented strong evidence in support of the
addition of commodity futures contracts to a diversified stock portfolio to enhance the risk …

This survey paper will discuss the (potential) structural sources of return for both CTAs and
commodity indices based on a review of empirical research articles from both academics …

This paper investigates relationships between profits from dynamic trading strategies, risk
premium, convenience yields, and net hedging pressures for commodity futures. As a market …