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Long-short commodity investing: A review of the literature

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  • Miffre, Joëlle

Abstract

This article reviews recent academic studies that analyze the performance of long-short strategies in commodity futures markets. Special attention is devoted to the strategies based on roll-yields, inventory levels or hedging pressure that directly arise from the theory of storage and the hedging pressure hypothesis. Alternative strategies based on past performance, risk, value, skewness, liquidity or inflation betas are also studied, alongside with recent attempts to enhance performance by modifying or combining the original signals. Overall, the literature highlights the superiority of being long-short in commodity futures markets relative to being long-only.

Suggested Citation

  • Miffre, Joëlle, 2016. "Long-short commodity investing: A review of the literature," Journal of Commodity Markets, Elsevier, vol. 1(1), pages 3-13.
  • Handle: RePEc:eee:jocoma:v:1:y:2016:i:1:p:3-13
    DOI: 10.1016/j.jcomm.2016.01.001
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    References listed on IDEAS

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    More about this item

    Keywords

    G13; G14; Commodities; Long-short strategies; Performance; Backwardation; Contango;

    JEL classification:

    • G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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