Active And Passive Trading Strategies In Commodity Futures Market

This thesis mainly studies various commodity futures trading strategies tocapture risk premiums of futures markets. Active and passive trading strategies aredeveloped to test the components of risk premiums. First, following previous work, Idecompose futures returns into spot premium and term premium. Second, I developpassive trading strategies to capture spot premium and term premium respectively.Third, based on empirical tests, I find futures yield contain predictive power of bothspot premium and term premium. Further, referring to momentum strategies in equitymarket, I believe past returns may contain predictive information of future returns.Thus, I construct and test active trading strategies with the intention to exploit thepredictability of futures yield and past returns.Test results show that passive trading strategies cannot outperform the market,and some are actually outperformed by the market. For futures yield based strategy,the predictability of futures yield on spot premium can be exploited to generatepositive abnormal returns. However, strategies based on the predictability on termpremium cannot outperform the market. For momentum strategy, I follow the logic oflong past winners and short past losers. To be more specific, we long futures with highspot returns in past few months and short ones with low spot returns. Tests show thatmomentum strategies do outperform the market and can generate positive abnormalreturns. Finally, various tests are conducted to check the robustness the findings, andresults are confirmative.As few existing papers have paid attention to the trading strategies in Chinesefutures markets, this thesis helps to fill the gap to some extent.