The loco-modities

Dec 19, 2023

Abstract

Turnleaf Analytics economic forecasts to trade commodities

It seems intuitive that there is a relationship between commodities, inflation and growth. However, the key question is whether such a link can be monetised. In this paper, we explore how Turnleaf Analytics economic forecasts, both for inflation and growth (ISM), can be used to generate historically profitable signals for trading commodities. Historically, our portfolio of Turnleaf Analytics economic forecast trading rules with a trend following component has risk adjusted returns of 0.94 and annualised returns of 3.3% since 2018, outperforming a basket which purely uses trend following signals on commodities futures.

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