An Index of Commodity Futures Returns Since 1871

In February 2026, Geert and members of SummerHaven’s research team published “An Index of Commodity Futures Returns Since 1871″, which was the culmination of a research project that lasted for more than 10 years. This project involved the creation of a proprietary database of daily commodity futures prices going back to 1871. We include an overview of the database below. We believe it is the most comprehensive study of the asset class to date.

Database Overview

  • Daily futures prices from 1871
  • 36 exchanges
  • 230 futures contracts, across all sectors
  • Includes over 180 defunct contracts
  • 60,000+ monthly returns
  • Sources
    • Chicago Board of Trade
    • Chicago Mercantile Exchange
    • Minneapolis Chamber of Commerce
    • Dairy and Produce Yearbook
    • New York Times
    • Wall Street Journal
    • Chicago Tribune
    • The Guardian (UK)

ESG and Derivatives

By Rajkumar Janardanan (SummerHaven Investment Management), Prof: Xiao Qiao (City University of Hong Kong) and Prof: Geert Rouwenhorst (Yale SoM and Partner – SummerHaven Investment Management). Published in the Financial Analysts Journal, 2024.

Select Research Papers

Facts and Fantasies about Commodity Futures

By Gary Gorton (The Wharton School, University of Pennsylvania) and K. Geert Rouwenhorst (SummerHaven Investment Management), published in Financial Analyst Journal, April 2006.

The Fundamentals of Commodity Futures Returns

By Gary Gorton (School of Management, Yale University and National Bureau of Economic Research, Fumio Hayashi (Graduate School of International Corporate Strategy and National Bureau of Economic Research, and K. Geert Rouwenhorst) School of Management and Partner – SummerHaven Investment Management, circulated as a NBER/Yale ICF working paper in 2007 and subsequently published in the Review of Finance 2013.

The First Commodity Futures Index of 1933

By Geetesh Bhardwaj (SummerHaven Investment Management), Rajkumar Janardanan (SummerHaven Investment Management), and K. Geert Rouwenhorst (School of Management, Yale University and Partner – SummerHaven Investment Management), written May, 2015.