speculation, especially via passive investments such as ETFs, has intensified price volatility in commodity futures, leading to a …

Using daily returns on 34 futures contracts over the 2010-2022 period, we examine the factors driving these returns. We …, 2) metals and oil and 3) precious metals. The three groupings have distinct drivers that determine the commodity futures … an out-of-sample setting, our strategy delivers positive Sharpe ratios on 26 out 34 commodity futures contracts and …