Long-Term Sources of Return in the Commodity Futures Markets: Evidence from the Grain Markets

7 Pages Posted: 29 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: July 7, 2008

Abstract

This paper provides some preliminary contributions to the debate over the sources of return in the commodity markets, based on work that is drawn from the 2007 Risk Book, Intelligent Commodity Investing. Essentially, Till (2007) and Feldman and Till (2006) find that in examining a 55-year period in three grain futures markets that the term-structure of an individual contract is the dominant source of return, but only over long (five-year) time-frames. During periods of price stability, grain commodity futures prices have been naturally mean-reverting, meaning that sources of return obviously could not be from trends in the spot price; instead, they had to be from secondary (non-obvious) factors like the shape of a commodity market’s futures curve.

Keywords: commodity futures, grain futures, returns

JEL Classification: G1, G12, Q11

Suggested Citation

Till, Hilary, Long-Term Sources of Return in the Commodity Futures Markets: Evidence from the Grain Markets (July 7, 2008). Available at SSRN: https://ssrn.com/abstract=2611743 or http://dx.doi.org/10.2139/ssrn.2611743

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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