Advances in the Commodity Futures Literature: A Review

We review selectively some recent advances in the commodity futures literature. First, we discuss the literature on the diversification benefits of commodity futures and we highlight some common misconceptions. Next, we survey the commodity futures asset pricing literature. We explain why it is hard to find a model to explain the cross-sectional variation of the commodity futures expected returns. Finally, we revisit the debate about whether the commodity futures margins should be regulated. These topics are of interest to academics, practitioners, and policymakers and they are challenging because they raise a number of questions still to be answered.