Exploiting Commodity “Yield Curves”
June 29, 2010 - Commodity Futures
Is there information useful to investors in the “yield curves” of commodity futures? In their December 2009 paper entitled “Structural Properties of Commodity Futures Term Structures and Their Implications for Basic Trading Strategies”, Rolf Duerr and Matthias Voegeli investigate the informativeness of price progressions across commodity futures contracts with different maturities (term structures or yield curves) over rolling 12-month windows. Specifically, they focus on trading commodity futures contracts based on the current slopes of these curves and on the stabilities of the shapes of the curves over time (slope and curvature). Using weekly closing settlement prices for 23 energy, metals, agriculture and livestock commodities spanning January 1998 through July 2009, they find that: Keep Reading