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Anomalies in commodity futures markets

Hollstein, F., Prokopczuk, M. and Tharann, B. (2021) Anomalies in commodity futures markets. Quarterly Journal of Finance, 11 (4). 2150017. ISSN 2010-1392

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To link to this item DOI: 10.1142/S2010139221500178


In recent years, commodity markets have become increasingly popular among financial investors. While previous studies document a factor structure, not much is known about how prominent anomalies are priced in commodity futures markets. We examine a large set of such anomaly variables. We identify sizable premia for jump risk, momentum, skewness, and volatility-of-volatility. Other prominent variables, such as downside beta, idiosyncratic volatility, and MAX, are not priced in commodity futures markets. Commodity investors should rebalance their portfolios regularly. Returns for annual holding periods are substantially weaker than for monthly rebalancing.

Item Type:Article
Divisions:Henley Business School > ICMA Centre
ID Code:100920
Publisher:World Scientific


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