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Stats › Devises et matières premières › Commodity inventory

Low physical inventory predicted higher commodity returns by eight percent a year

Low-inventory minus high-inventory third: 8.06%+8.06%Low-inventory minushigh-inventory thirdUnconditional commodity risk premium 1959 to 2004: 5.23%+5.23%Unconditional commodityrisk premium 1959 to 2004

Annualised returns. The inventory sort is measured 1969 to 2006 with a t statistic of 3.19; the unconditional premium is measured 1959 to 2004 with a t statistic of 2.92. Inventory is normalised against a fitted deterministic trend plus seasonals, ranked monthly, held one month.

Ranking commodities on how far inventory sits below its own trend, then buying the scarcest third and shorting the most abundant, returned 8.06% a year. The basis captures most of the same signal from price data alone.

8.06%Annualised return to the low-minus-high inventory portfolio, t = 3.19
12 pointsHow much higher the low-inventory portfolio's basis was, t = 14.51
56%Share of months in which the portfolio was positive
Below 1%Predictive R squared of positioning data on returns, against 10% contemporaneous

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