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- W2894814086 abstract "We test whether three well-known commodity-specific variables (basis, hedging pressure, and momentum) may improve the predictive power for commodity futures returns of models otherwise based on macroeconomic factors. We compute recursive, out-of-sample forecasts for fifteen monthly commodity futures return series, when estimation is based on a stepwise model selection approach under a probability-weighted regime-switching regression that identifies different volatility regimes. Comparisons with an AR(1) benchmark show that the inclusion of commodity-specific factors does not improve the forecasting power. We perform a back-testing exercise of a mean-variance investment strategy that exploits any predictability of the conditional risk premium of commodities, stocks, and bond returns, also taking into account transaction costs caused by portfolio rebalancing. The risk-adjusted performance of this strategy does not allow us to conclude that any forecasting approach outperforms the others. However, there is evidence that investment strategies based on commodity-specific predictors outperform the remaining strategies in the high-volatility state." @default.
- W2894814086 created "2018-10-12" @default.
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- W2894814086 date "2018-01-01" @default.
- W2894814086 modified "2023-09-27" @default.
- W2894814086 title "Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors" @default.
- W2894814086 doi "https://doi.org/10.2139/ssrn.3225611" @default.
- W2894814086 hasPublicationYear "2018" @default.
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