LONG-SHORT COMMODITY INVESTING Study Dataset
unsettling role of long-short investors on price volatility and cross-market correlation.
Modelling Long-Short Strategies To address these objectives, we
first start by mimicking the trading behaviour of long-short participants in commodity futures markets over the period 1992-2011. This is done by implementing a battery of long-short strategies, where these strategies are based on a momentum signal, on the slope of the term structure, on a double-sort that combines momentum and term structure signals, or on the positions of hedgers and speculators. The rule-based strategies that we implement specify minimum liquidity requirements for commodity contracts and then include in a long-short portfolio the commodities with the strongest momentum, the highest absolute roll-returns, or the most extreme hedging pressures.
The dataset includes Friday settlement prices for twenty-seven commodity futures as obtained from Datastream International. The frequency, time series and cross section are chosen based on the availability of the positions of commercial traders (also often termed ‘hedgers’) and non-commercial traders (also often referred to as ‘speculators’) in the Commodity Futures Trading Commission (CFTC) Commitment of Traders Report (COT). The cross section includes twelve agricultural commodities (cocoa, coffee C, corn, cotton No.2, frozen concentrated orange juice, oats, rough rice, soybean meal, soybean oil, soybeans, sugar No.11, wheat), five energy commodities (blendstock RBOB gasoline, electricity, heating oil No.2, light sweet crude oil, natural gas), four livestock commodities (feeder cattle, frozen pork bellies, lean hogs, live cattle), five metal commodities (copper, gold, palladium, platinum, silver) and random length lumber. The positions of commercial and non-commercial traders are
collected every Tuesday and made available to the public the following Friday.
Futures returns are calculated by assuming that investors hold
the nearest contract up to one month before maturity and then roll their position to the second nearest contract, where the rolling takes place to avoid physical delivery of the underlying commodity. All portfolios short-list the 75% most liquid contracts out
of the universe of commodity futures that are available at the time of portfolio construction. The momentum portfolio is composed by buying the (remaining) 20% with the highest past
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