The Federal Reserve Board published an analysis finding that commodity futures generally outperform simple backward-looking price forecasts when the futures curve differs meaningfully from spot prices. This indicates that futures contain useful information about market expectations, although they typically are not unbiased predictors of future spot prices. Using monthly data for 12 commodities from 2005 and futures maturities of three, six and 12 months, the analysis compared futures with random-walk, momentum and mean-reversion forecasts. Futures generally performed better when they deviated by more than 5% from spot prices, with stronger gains in many cases when the gap exceeded 15%. Performance was weaker for some commodities, particularly wheat and many metals maturities, while forecast errors across all methods increased as the futures curve moved further from flat, reflecting the heightened uncertainty associated with such periods.
2026-09-03Federal Reserve Board
Federal Reserve Board finds commodity futures outperform simple forecasts when curves diverge from spot prices
The Federal Reserve Board found that commodity futures generally outperform simple backward-looking forecasts when futures prices differ meaningfully from spot prices. However, futures are typically not unbiased predictors, and their forecast errors increase as the curve moves further from flat.