Commodity Futures Term Structure Reversals

Do term structures of commodity futures contract series shift in an exploitably predictable way? In their May 2025 paper entitled “Short-Term Basis Reversal”, Alberto Rossi, Yingguang Zhang and Yandi Zhu examine relationships between the return spread between adjacent (especially first-minus-second) maturity commodity futures contracts and future returns on these contracts. They consider both cross-sectional and time series approaches to exploitation of findings. Using price data for 22 commodity futures contract series (across energy, metals, livestock and agriculture) with at least one month to expiration during January 1980 through December 2022, they find that:

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