Long-Short Commodity Investing: A Review of the Literature

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

Author(s):

Joëlle Miffre

Professor of Finance, EDHEC Business School Member, EDHEC-Risk Institute

This article reviews recent academic studies that analyse the performance of long-short strategies in commodity futures markets. Special attention is devoted to the strategies based on roll-yields, inventory levels or hedging pressure that directly arise from the theory of storage and the hedging pressure hypothesis. Alternative strategies based on past performance, risk, value, skewness, liquidity or inflation betas are also studied, alongside with recent attempts to enhance performance by modifying or combining the original signals. All in all, the literature highlights the superiority of being long-short in commodity futures markets relative to being long-only.

Pdf
Long-Short Commodity Investing: A Review of the Literature...
(-1.00 B)
Type: Working paper
Date: le 23/05/2017
Research Cluster : Finance

See Also

EDHEC-Risk and Swiss Life AM France set up a research chair to analyse the role of real estate in investment solutions
News
- 17-10-2018
Swiss Life Asset Managers France and EDHEC-Risk Institute have announced the creation...
Lionel Martellini speaking on the application of goal-based investing to retirement strategies at the TrackInsight European Summit in Paris on Nov 7
News
- 16-10-2018
Lionel Martellini, Professor of Finance, EDHEC Business School and Director, EDHEC-Risk...
The EDHEC Executive MBA rises six places in the Financial Times global ranking 2018
News
- 15-10-2018
The Financial Times published today its latest ranking of top Executive MBA programmes...
News
- 11-10-2018
The EDHEC Family Business Centre and Tharawat Family Business Forum, with the...