Long-Short Commodity Investing: A Review of the Literature

Journal of Commodity Markets, 2016, 1, 3-13

31 Pages Posted: 9 Dec 2015 Last revised: 20 May 2019

See all articles by Joëlle Miffre

Joëlle Miffre

Audencia Nantes School of Management; Audencia Business School

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

Miffre, Joelle, Long-Short Commodity Investing: A Review of the Literature (December 8, 2015). Journal of Commodity Markets, 2016, 1, 3-13. Available at SSRN: https://ssrn.com/abstract=2700719 or http://dx.doi.org/10.2139/ssrn.2700719

Joelle Miffre (Contact Author)

Audencia Nantes School of Management ( email )

8 route de la Jonelière, BP 31222
Nantes Cedex 3, Cedex 3 44312

Audencia Business School ( email )

8 Road Joneliere
BP 31222
Nantes Cedex 3, 44312

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