Long-Short Commodity Investing: A Review of the Literature
Journal of Commodity Markets, Invited publication, Forthcoming
31 Pages Posted: 9 Dec 2015 Last revised: 28 Jan 2016
Date Written: December 8, 2015
This article reviews recent academic studies that analyze the performance of long-short strategies in commodity futures markets. Special attention is devoted to the strategies based on roll-yields, inventory levels or hedging pressure that directly arise from the theory of storage and the hedging pressure hypothesis. Alternative strategies based on past performance, risk, value, skewness, liquidity or inflation betas are also studied, alongside with recent attempts to enhance performance by modifying or combining the original signals. Overall, the literature highlights the superiority of being long-short in commodity futures markets relative to being long-only.
Keywords: Commodities, Long-short strategies, Performance, Backwardation, Contango
JEL Classification: G13, G14
Suggested Citation: Suggested Citation