Abstract:Questions as to why differences in momentum and reversal patterns seem to emerge in commodity futures compared with spot markets, and how these patterns can be explained, remain unanswered. To investigate these questions, I examine 23 commodities over a period of 60 years. I first show that including the net convenience yield in the definition of commodity spot returns reconciles the differences in the results for commodity spot and futures markets. Both commodity futures and spot markets exhibit quantitativel… Show more
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