As summarized by Hilary Till, Contributing Editor, Global Commodities Applied Research Digest
In this study, the authors examine what potentially drives convenience yields. Typically, convenience yields are regarded as the benefit that a holder of commodity inventories receives for being able to avoid the cost of potential stock-outs. The authors examine to what extent commodity-specific and broad macroeconomic variables can explain the variability of convenience yields for a set of commodities. Amongst the authors’ results are that convenience yields (in all cases but one commodity) “exhibit statistically significant positive relationships with” expected inflation and expected industrial production in the US. This is a helpful result for investors whom are interested in choosing futures strategies that provide exposure to key macroeconomic variables.