We develop a framework to quantify the convenience yield risk (CYR) inherent to each commodity futures market. Implementing our approach, we document that our novel CYR measure is informative about future commodity returns. In panel regressions, the CYR predicts future returns with a positive sign. Economically, a strategy that opens long positions in commodity markets with a higher than median CYR signal and sells the remaining commodities yields an average return of 6.93% per year. The performance of the CYR strategy cannot be explained by exposure to existing commodity strategies or other variables that capture changes in the investment opportunity set.

我们开发了一个框架来量化每个商品期货市场固有的便利收益率风险 (CYR)。实施我们的方法，我们记录了我们新颖的 CYR 措施可以提供有关未来商品回报的信息。在面板回归中，CYR 以正号预测未来回报。从经济上讲，在 CYR 信号高于中值的商品市场开多头头寸并卖出剩余商品的策略每年平均回报率为 6.93%。CYR 策略的表现无法通过暴露于现有商品策略或捕捉投资机会集变化的其他变量来解释。