Anomalies in Commodity Futures Markets: Risk or Mispricing?

In recent years, commodity markets have become increasingly popular among financial investors. In contrast to traditional markets such as equities or bonds for which many studies have identified various profitable investment strategies, less is known for commodity markets. In this paper, we therefore examine prominent (anomaly) variables in commodity futures markets. We identify sizable premia for jump risk, momentum, and volatility-of-volatility. Other prominent variables, such as downside beta, idiosyncratic volatility, and MAX, are not priced in commodity futures markets. Based on the specific features of commodity futures we draw implications as to whether return premia are driven by behavioral distortions.