“…Consistent with sentiment theories of initial under‐reaction and delayed over‐reaction, Moskowitz, Ooi, and Pedersen (2012) document significant time series momentum across a range of futures markets and report that speculators profit from momentum at the expense of hedgers. The response of volatility to this activity is unclear with Chen, Liu, and Hsu (2010) reporting that conditional volatility increases with speculative trading activity, while Miffre and Brooks (2013) suggest that speculators do not impact volatility of commodity futures in their portfolios. Most recently, Fishe and Smith (2012) use data from the CFTC's Large Trader Reporting System (LTRS) to identify informed traders across 12 commodity markets, and find that while money traders/hedge funds tend to be well informed, commercial hedgers do not.…”