Commodity Scarcity and the GSCI Futures Curve

7 Pages Posted: 10 Jul 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: August 11, 2000

Abstract

This paper will argue that long-only investments in the commodity futures markets, specifically those represented by the GSCI, are only advisable under a well-defined circumstance. One needs to use a reliable indicator of scarcity before investing in commodities in order to improve the chances of earning positive returns. This indicator also assists a commodity investor in potentially avoiding huge losses that can result from investing in commodities during times of surplus. We will describe this indicator as well as note empirical and theoretical evidence for its use.

Keywords: GSCI futures, commodity futures, backwardation

JEL Classification: G1, G11

Suggested Citation

Till, Hilary, Commodity Scarcity and the GSCI Futures Curve (August 11, 2000). Available at SSRN: https://ssrn.com/abstract=2628537 or http://dx.doi.org/10.2139/ssrn.2628537

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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