Two Centuries of Commodity Futures Premia: Momentum, Value and Basis

28 Pages Posted: 26 Feb 2019

See all articles by Christopher Geczy

Christopher Geczy

University of Pennsylvania - The Wharton School, Finance Department

Mikhail Samonov

Two Centuries Investments

Date Written: February 17, 2019

Abstract

Using hand-collected data of commodity futures contracts going back to 1877, we replicate in the pre-sample history the well-documented cross-sectional commodity factor premia of momentum, value and basis. All three premia remain significantly positive in the additional 80-plus years of pre-sample data. Compared to a long-only passive basket of commodity futures, a long-only premia portfolio more than doubles its Sharpe in both the early and recent samples, suggesting a more optimal way to obtain portfolio’s commodity exposure while maintaining its beneficial inflation hedging property.

Keywords: Commodity Futures, Long-Run Research, Momentum, Value, Basis

JEL Classification: G10, G11, G12, G13, G14

Suggested Citation

Geczy, Christopher Charles and Samonov, Mikhail, Two Centuries of Commodity Futures Premia: Momentum, Value and Basis (February 17, 2019). Available at SSRN: https://ssrn.com/abstract=3336406 or http://dx.doi.org/10.2139/ssrn.3336406

Christopher Charles Geczy

University of Pennsylvania - The Wharton School, Finance Department ( email )

The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
United States
(215) 898-1698 (Phone)
(215) 898-6200 (Fax)

Mikhail Samonov (Contact Author)

Two Centuries Investments ( email )

38 benjamin rush lane
Princeton, NJ 08540
United States

Register to save articles to
your library

Register

Paper statistics

Downloads
243
rank
123,011
Abstract Views
762
PlumX Metrics