EDHEC: Long-Term Sources of Return in the Commodity Futures Markets: Evidence from the Grain Markets

Prior to 2006, the exponential rise in financial derivatives since the late 1970’s had crowded out academic and practitioner interest in the commodity futures markets. As a matter of fact, there were surprisingly few long-term studies on commodity futures returns that had analysed these markets in an original way. Notable exceptions were Greer (1978) and Bodie and Rosansky (1980); these authors discussed both the equity-like returns and inflation-hedging properties of investments in baskets of