Is there a low-risk premium in commodity markets?

This paper examines the existence of a low-risk anomaly in the asset class of commodity futures. Using dynamic market betas as ranking variable for sorted portfolios, results indicate that significant factors can be constructed by slightly altering the parameters used in previous literature. When additional asset-specific risk measures are incorporated to sort assets into longshort portfolios, especially low-drawdown portfolios yield abnormal returns with regards to the benchmarks. Although not constituting an anomaly, findings on the compensation of tail risks in the form of kurtosis, that consistently showed up significant throughout robustness tests, are also reported