In recent years, commodity markets have become increasingly popular among financial investors. While previous studies document a factor structure, not much is known about how prominent anomalies are priced in commodity futures markets. We examine a large set of such anomaly variables. We identify sizable premia for jump risk, momentum, skewness, and volatility-of-volatility. Other prominent variables, such as downside beta, idiosyncratic volatility, and MAX, are not priced in commodity futures markets. Commodity investors should rebalance their portfolios regularly. Returns for annual holding periods are substantially weaker than for monthly rebalancing.

中文翻译：

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商品期货市场异常

近年来，商品市场越来越受到金融投资者的欢迎。虽然之前的研究记录了一个因子结构，但对于商品期货市场的显着异常定价方式知之甚少。我们检查了大量这样的异常变量。我们为跳跃风险、动量、偏度和波动率确定了相当大的溢价。其他显着变量，例如下行贝塔、特殊波动率和 MAX，在商品期货市场中没有定价。商品投资者应定期重新平衡其投资组合。年度持有期的回报远低于每月重新平衡的回报。