Blog - Investing Notes

Blog Synthesis: Investing/Trading in Commodities and Commodity Futures

Here is a listing of past entries on investing and trading in commodities and commodity futures as an alternative asset class to equities.

Returns and Success Factors for Commodity Futures Speculators ...large speculators in commodity futures generally do make money by exploiting risk premiums derived from the theory of storage (and perhaps from momentum trading).

Physical Inventories and Commodity Futures Returns ...physical inventory levels are the critical determinants of commodity future price variations and returns, intermediating both backwardation (positive roll) returns and momentum returns. After accounting for inventory effects, there is no evidence that the aggregate position of traders (hedging pressure) predicts commodity futures risk premiums.

Using Commitments of Traders Reports to Time Asset Allocations ...the information in Commitments of Traders reports regarding aggregate positions of different categories of futures traders may support successful timing of associated markets.

Testing Momentum and Contrarian Commodity Futures Returns ...commodity futures long-short momentum strategies may offer both good average returns and effective diversification of a stocks/bonds portfolio.

Returns from Commodity Futures ...over the long run, a diversified and periodically rebalanced portfolio of commodity futures may offer: (1) reasonably reliable equity-like returns, and (2) valuable diversification of stocks and bonds. Return momentum and roll return support tactical allocation among individual commodity futures.

The Timing Performance of Expert Futures Traders ...expert futures traders exhibit some market timing ability, and those who employ trading systems out-time those who do not. Market timing is more important to futures traders than securities selection.

Does Technical Trading Work with Commodity Futures? ...market timing based on technical analysis is not reliably profitable for commodity futures.

Empirical Overview of Commodity Futures ...commodity futures in aggregate offer a long-term return comparable to that of stocks, with less downside risk and a substantial diversification benefit for a stock/bond portfolio.

Gold as Hedge and Safe Haven ...gold has offered some downside protection for stocks over the past decade, at the cost of some raw return.