An anatomy of commodity futures risk premia

• Autores: Marta Szymanowska, Frans De Roon, Theo Nijman, Rob Van Den Goorbergh
• Localización: The Journal of finance, ISSN 0022-1082, Vol. 69, Nº 1, 2014, págs. 453-482
• Idioma: inglés
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• Resumen

  • We identify two types of risk premia in commodity futures returns: spot premia related to the risk in the underlying commodity, and term premia related to changes in the basis. Sorting on forecasting variables such as the futures basis, return momentum, volatility, inflation, hedging pressure, and liquidity results in sizable spot premia between 5% and 14% per annum and term premia between 1% and 3% per annum. We show that a single factor, the high-minus-low portfolio from basis sorts, explains the cross-section of spot premia. Two additional basis factors are needed to explain the term premia.