and term risk premia in an intuitive manner related to investable portfolios. The straightforward construction of our … sorted portfolios and risk adjusted alphas as benchmarks. Thus, we feel it is an appropriate benchmark to evaluate commodity …

, there are statistical and economically significant momentum profits, and the profitability increases with the rising of … than the other two momentum strategies on a risk-adjusted basis; but the superiority declines sharply since 1998. Momentum … returns are quite sensitive to market conditions but the crash of momentum returns are partly predictable. Return seasonality …

futures with low open interest growth, high volatilities, low momentum, or low futures basis are more sensitive to change in …

empirically motivated variables. Thus, we create portfolios and assess their performance using asset pricing models. The empirical …) ratio, the turnover ratio, and skewness prove to be useful tools for international investors. Furthermore, portfolios from …