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Stats › Devises et matières premières › Commodity seasonality

Commodity month-of-year seasonality does not survive an out-of-sample test

Best seasonal variant: 0.245+0.245Best seasonalvariantEqual weight benchmark: 0.183+0.183ÉquipondérébenchmarkClassical SSA signal: 0.014+0.014Classical SSAsignalRobust L1 SSA, vol normalised: -0.365-0.365Robust L1 SSA,vol normalised

Out-of-sample Sharpe ratios, fifteen commodity futures, January 2016 to December 2024, 108 months, costs at 8.6 basis points one way. Across 500 bootstrap paths with within-family Holm correction, none of the eighteen paired Sharpe tests rejects, with adjusted p values from 0.192 to 1.000.

Seasonal tables for corn, gas and gold circulate every year. The one peer-reviewed positive result is marginal by its own authors' description, and a 2026 test on 2016 to 2024 across fifteen futures rejects nothing after multiple-testing correction.

t = 1.93The one peer-reviewed positive result, called marginally significant by its own authors
AucunOf 18 paired Sharpe tests that reject after Holm correction, 2016 to 2024
0.5 ppBank of England estimate of seasonality's share of expected heating oil returns
0.245Best seasonal Sharpe out of sample, against 0.183 for equal weight

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