Return and Risk in Commodity Futures Programs

22 Pages Posted: 20 May 2015

See all articles by Hilary Till

Hilary Till

Premia Research LLC; EDHEC-Risk Institute; J.P. Morgan Center for Commodities, University of Colorado Denver Business School; Global Commodities Applied Research Digest

Date Written: May 19, 2006

Abstract

This paper discusses how commodity returns had in the past mainly relied on portfolio effects and term-structure properties of individual commodity futures contracts. But the paper also notes that rare trend shifts, as occurred in the early 1970’s, can also be a meaningful source of returns for an investor. In addition, the paper discusses some of the dynamic correlation properties of commodity futures contracts. Finally, the paper examines the prospects of the main constituent of the dominant commodity index – oil – and provides a framework for understanding what could potentially drive future returns.

Keywords: commodity futures, returns, risk, portfolio

JEL Classification: G1, G11

Suggested Citation

Till, Hilary, Return and Risk in Commodity Futures Programs (May 19, 2006). Available at SSRN: https://ssrn.com/abstract=2608076 or http://dx.doi.org/10.2139/ssrn.2608076

Hilary Till (Contact Author)

Premia Research LLC ( email )

United States
312-583-1137 (Phone)
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HOME PAGE: http://customindices.spindices.com/custom-index-calculations/premia/all

EDHEC-Risk Institute

Nice
France

HOME PAGE: http://risk.edhec.edu/

J.P. Morgan Center for Commodities, University of Colorado Denver Business School ( email )

1475 Lawrence St.
Denver, CO 80202
United States

HOME PAGE: http://www.business.ucdenver.edu/commodities

Global Commodities Applied Research Digest ( email )

J.P. Morgan Center for Commodities
1475 Lawrence Street
Denver, CO 80202
United States

HOME PAGE: http://www.jpmcc-gcard.com/hilary-till

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