Long-term sources of return in commodity futures markets from the grain markets

Before 2006 the exponential rise in financial derivatives since the late 1970s had crowded out academic and practitioner interest in the commodity futures markets. There were surprisingly few long-term studies on commodity futures returns analysing these markets in an original way.

Notable exceptions were Greer1 and Bodie and Rosansky.2 These authors discussed the equity-like returns and inflation-hedging properties of investments in baskets of commodity futures contracts.

In 2006 fresh academic p