Sources of Return in the Commodity Futures Markets

By Hilary Till, Solich Scholar, J.P. Morgan Center for Commodities, University of Colorado Denver Business School

This digest article describes potentially persistent sources of return in the commodity futures markets due to (1) hedge pressure, (2) scarcity, and (3) weather-fear premia. But the article also notes that active commodity futures strategies can be limited in scalability and can potentially lose their potency due to structural breaks or popularization.