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I am trying to replicate the Schwartz-Smith (2000) model and having an issue understanding what the data is and how to generate it. Specifically, the authors use a table of continuous futures with expirations maturity = [1/12,5/12,9/12,13/12,17/12]. How exactly is this created? I have daily prices for a series of gold futures: GCM1, GCZ7, GCZ9, GCM9, GCV8, GCQ7 for example, but these contracts all have a start and end date. What is the way to create the 5-month continuous futures contract from this data?

This was asked in Where can one find the daily prices of commodity futures of multiple maturities and time to expiration of the contracts? but the answers were about the data sources, not the mechanics of stitching the contracts together. Additionally, I can find resources about the different weighting methods when stitching two contracts together, but nothing about how to assemble the time series.

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  • $\begingroup$ I just found this great description link but I would really like a simple explanation on how to create the five different maturity continuous futures $\endgroup$
    – user86422
    Mar 1 at 11:27
  • $\begingroup$ Your link does not work for me. $\endgroup$ Mar 1 at 12:03

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I'm still unsure about a general approach to this, or how to answer my specific question about how to create a five month continuous contract from a series of futures. But, in order to replicate the data found in the Schwartz-Smith (2000) or Schwartz (1997) papers, I needed to find a Composite Commodity Future Continuation. In this case, I used the Refinitiv GCc1, GCc5, GCc9, GCc13, and GCc17 data series to create my table of continuous futures with expirations maturity = [1/12,5/12,9/12,13/12,17/12].

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