Research and publications

Commodity Futures Trading Strategies: Trend-Following and Calendar Spreads

This brief article discusses the most common strategies employed by futures traders, namely trend-following and calendar-spread trading. One typically finds that institutionally-scaled futures prog ...

Author(s):

Hilary Till, Joseph Eagleeye

Summary:

This brief article discusses the most common strategies employed by futures traders, namely trend-following and calendar-spread trading. One typically finds that institutionally-scaled futures programs employ trend-following algorithms. Here, the key is employing such algorithms across numerous and diverse markets such that the overall portfolio volatility is dampened. On the other end of the spectrum are calendar-spread strategies. These strategies typically have limited scalability but individually can potentially have quite consistent returns.

This is a working paper version of an article that was later published in the Spring 2017 Global Commodities Applied Research Digest.

Register to download PDF

Register/Log in

Type :	Working paper
Date :	05/01/2017
Keywords :	Commodities

About EDHEC

Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.

About EDHEC-Risk Climate Impact Institute

Marking the priority assigned by the School to sustainability issues and building on its research programmes exploring the relationships between climate change and finance, EDHEC-Risk Institute became EDHEC-Risk Climate Impact Institute in October 2022. The Institute's mission is to help private and public decision-makers manage climate-related financial risks and make the best use of the financial tools available to transition to low-emission and climate-resilient economies. The Institute’s research programmes explore the relationships between climate change and finance and our key ambition is to become a leading academic reference point for long-term investors, helping them to manage the asset-pricing implications of climate change as well as mitigation and adaptation efforts.