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
Date Written: September 14, 2006
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: Suggested Citation