An Update on Weather Fear Premia Trades

11 Pages Posted: 21 Dec 2018

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: December 4, 2018

Abstract

This article reviews a class of trading strategies known as “weather fear premia” trades. It argues that these types of trades may comprise a type of risk premium and notes the extra diligence needed in their risk management. The article notes that both superior trade construction and an analysis of fundamentals are also critical for their successful implementation. It concludes with a cautionary note on a catastrophic trading blow-up that occurred in November 2018, illustrating the risk of such strategies.

Keywords: commodity futures, risk premium, natural gas, coffee, corn

JEL Classification: G1, G11

Suggested Citation

Till, Hilary, An Update on Weather Fear Premia Trades (December 4, 2018). Available at SSRN: https://ssrn.com/abstract=3295441 or http://dx.doi.org/10.2139/ssrn.3295441

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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