The Tortoise versus the Hare: The Role of Term Structure versus Spot Price Trends in Determining Commodity Futures Returns

6 Pages Posted: 28 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: September 14, 2006

Abstract

This paper examines the role of term structure versus spot price trends in determining commodity futures returns. The paper reviews backwardation and discusses how over very long timeframes, the term structure of a commodity futures curve has been the dominant driver of returns for individual futures contracts.

Keywords: commodity futures returns, backwardation, roll yield, term structure

JEL Classification: G1, G11

Suggested Citation

Till, Hilary, The Tortoise versus the Hare: The Role of Term Structure versus Spot Price Trends in Determining Commodity Futures Returns (September 14, 2006). Available at SSRN: https://ssrn.com/abstract=2611506 or http://dx.doi.org/10.2139/ssrn.2611506

Hilary Till (Contact Author)

Premia Research LLC ( email )

United States
312-583-1137 (Phone)
312-873-3914 (Fax)

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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