Commodity Futures Strategies Over the Very Long Run
March 28, 2019 - Commodity Futures
Do momentum (nearest contract 12-month excess return), value (spot price change from one year ago to five years ago) and basis (12-month average ratio of nearest to next-nearest contract prices) commodity futures premiums hold up over the very long run? In their February 2019 paper entitled “Two Centuries of Commodity Futures Premia: Momentum, Value and… Keep Reading