Research on Commodity Futures Trading Strategies

9 Pages Posted: 24 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: April 15, 2007

Abstract

This paper will argue that one can intelligently invest in the commodity markets and will briefly touch on three approaches, which in turn are drawn from “Intelligent Commodity Investing” (Risk Books, 2007). The first two sections of this paper will discuss two historically profitable approaches that take into consideration the largely mean-reverting properties of commodity prices. The final section of the paper will argue that we may be in the midst of a rare trend shift in prices for some commodity markets and will provide some ideas on how to potentially benefit from this shift.

Keywords: commodity futures, term structure, returns, relative-value

JEL Classification: G1, G11

Suggested Citation

Till, Hilary, Research on Commodity Futures Trading Strategies (April 15, 2007). Available at SSRN: https://ssrn.com/abstract=2634542 or http://dx.doi.org/10.2139/ssrn.2634542

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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