CoChat
Sign Up
PreprintCited by 98Financial Markets and Investment StrategiesMarket Dynamics and VolatilityFinancial Risk and Volatility Modeling

Limits to Arbitrage and Commodity Index Investment: Front-Running the Goldman Roll

Open access
Mou, Yiqun·2010·SSRN Electronic Journal
DOI 10.2139/ssrn.1716841
Open this paper in CoChat — free account

Abstract

This paper studies the unique rolling activity of commodity index in futures markets and shows that the resulting price impact is statistically and economically significant. Two trading strategies, devised to exploit this anomaly, yielded excess returns with positive skewness and Sharpe ratios as high as 4.39 from 2000 to March 2010. The profitability of the strategies is positively correlated with the net result of two opposite forces: the size of index investment and the amount of arbitrage capital employed. Due to the price impact, investors forwent 3.6\% annual return, 48\% higher Sharpe ratio, and billions of dollars over the period.

Integrity signals

Registry

Crossref · 10.2139/ssrn.1716841

Cites

43 of 43 references verified0 citation errors · 0 not checkable

Statistics

Recomputing p-values needs the paper’s full text.

Claims the paper makes

We couldn’t retrieve this paper’s full text, so its claims and self-check weren’t run. The registry and citation checks still apply.

Claims other papers make about this one

Each is checked against this paper’s own text: does it say what the citing paper says it does?

  • Large financial institutions gained capacity to store large quantities of physical products, which affected prices, production processes, and ultimately the overall economy.

    “Large financial institutions gained capacity to store large quantities of physical products, which affected prices, production processes, and ultimately the overall economy”

    From Food Financialization: Impact of Derivatives and Index Funds on Agri-Food Market Volatility (2024) · cites this paper as Mou 2010

Cites

Flagged first, then by citations

1 of the 44 references couldn’t be matched to a known paper.

Cited by

Sorted by citations

Related

Authors
Mou, Y.
Affiliations
Columbia University (US)
Corresponding author
Mou, Yiqun
Venue
SSRN Electronic Journal
Publisher
Elsevier BV
Published
2010
ISSN
1556-5068 (ISSN-L)
DOI
10.2139/ssrn.1716841
OpenAlex
W2110048371
Cited by
98
References
44
Citations by year
2026: 2 · 2025: 1 · 2024: 1 · 2023: 2 · 2022: 4 · 2021: 6 · 2020: 5 · 2019: 4 · 2018: 7 · 2017: 6 · 2016: 8 · 2015: 12 · 2014: 9 · 2013: 15 · 2012: 9
Type
posted content
Language
en
Open access
Locations
SSRN Electronic Journal (acceptedVersion)
Topics
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Markets and Investment Strategies
  • Social Sciences › Economics, Econometrics and Finance › Economics and Econometrics › Market Dynamics and Volatility
  • Social Sciences › Economics, Econometrics and Finance › Finance › Financial Risk and Volatility Modeling
Keywords
front-running, price impact, limits to arbitrage, commodity futures, abnormal returns, Sharpe ratio, trading strategies

About these checks

Registry, retraction, Cites and statistics results are computed, not judged, with one exception: a printed reference that no index lists is read once by a model before it counts as a citation error. Claims are extracted by a model and kept only when their quote appears verbatim in the text; each cited source is then checked, with a model’s help, for whether it says what the claim relies on. Those verdicts can be wrong — read the claim’s quote and the cited source before relying on one.

Statistics and arithmetic are recomputed, not judged.

Confidence bands are shown only for fields calibrated on our annotated test set. None is calibrated yet, so no band is shown.

What counts as a claim ›How we measure confidence ›How we check this ›

Are you an author, or do you see a problem with this page? Request a review