Some previous researchers have argued that trading strategies based on calendar spread time series momentum (STSM) can deliver significant returns (Szymanowska et al. 2014; Boons and Prado 2019), which, if true, is at odds with the efficient market hypothesis. These arguments however, do not exclude the unrealisable futures contract roll yield and are also affected by other empirical and statistical issues that may lead to misleading results. With more than 30 years of data, we investigate STSM in 22 US commodity futures markets. First, we assess whether past spread returns can predict future returns, a necessary condition for the existence of momentum. We find predictability to be very weak after correcting for the issues affecting prior research. Second, we implement STSM-based investment strategies. We compare STSM profits for individual markets and portfolios to profits generated by a simple long-only benchmark strategy that does not require any predictability. STSM does not generate returns statistically different from the benchmark trading strategy, with both strategies generating very low or negative returns. For the momentum to outperform the benchmark strategy, predictability should be three times larger than observed from real data, but would entail substantial downside risk. In sum, the empirical evidence indicates that returns from STSM-type strategies are illusive for the commodities and period studied. Our results strongly suggest that inclusion of unrealisable roll yield generates the illusion of profitable STSM trading strategies in previous research.

中文翻译：

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顺势而为：美国大宗商品市场是否存在价差动能获利？

之前的一些研究人员认为，基于日历价差时间序列动量 (STSM) 的交易策略可以带来可观的回报（Szymanowska 等人，2014 年；Boons 和 Prado，2019 年），如果属实，这与有效市场假说不一致。然而，这些论点并不排除无法实现的期货合约展期收益率，并且还受到可能导致误导结果的其他经验和统计问题的影响。凭借 30 多年的数据，我们调查了 22 个美国商品期货市场的 STSM。首先，我们评估过去的利差回报是否可以预测未来回报，这是动量存在的必要条件。在纠正影响先前研究的问题后，我们发现可预测性非常弱。其次，我们实施基于 STSM 的投资策略。我们将单个市场和投资组合的 STSM 利润与不需要任何可预测性的简单多头基准策略产生的利润进行比较。STSM 不会产生与基准交易策略在统计上不同的回报，这两种策略都产生非常低或负的回报。为了超越基准策略的势头，可预测性应该比实际数据观察到的大三倍，但会带来巨大的下行风险。总而言之，经验证据表明，STSM 类型策略的回报对于所研究的商品和时期来说是虚幻的。我们的结果强烈表明，在之前的研究中，包含不可实现的展期收益率会产生盈利 STSM 交易策略的错觉。