The Case for Active Commodities Management George Oberhofer Senior Practice Consultant William Madden, Ph.D. Senior Practice Consultant Recent studies of commodity futures' return histories suggest that "roll return" has a significant positive correlation with subsequent total return. "Roll return" is the return a futures contract buyer would earn if the spot price remained constant and the futures contract moved to converge to it by the futures delivery date. (Roll return is positive when the futures price is lower than the spot price, and negative when the futures price is higher than the spot price.) Investors who have read these recent studies may want to act on this information, finding long-only CCF strategies relatively attractive when roll return is large and positive and relatively unattractive when roll return is negligible or negative. Indeed, in the current environment, oil futures, which make up a large fraction of most published commodities futures indexes, have negative roll returns in the most liquid delivery months. This suggests low (or perhaps negative) expected returns to buyers of oil futures contracts going forward. For the time being, a large component of the traditional CCF opportunity set has disappeared. Request this Research A note about our research Our proprietary research is made available to our institutional clients, and many of these published papers are available to other institutional investors as well. If you are not a Russell client, but are an institutional investor, we welcome you to request this research piece. We only require your contact information on a short request form. For more information about our research, please contact Rob or Gerry:   West Coast   East Coast Rob Ciro Director 866-926-5934 Gerry Lillis Director 866-459-4128 USIMSLRC 1641			Related Information Request this Research   Contact Details West Coast contact Rob Ciro Director 866-926-5934 East Coast contact Gerry Lillis Director 866-459-4128 Printer friendly version of this page