Is There Alpha in the COT Report?

Evidence from speculative positioning in commodity futures

Every Friday at 3:30 PM Eastern, the CFTC publishes the Commitments of Traders report, a public record of how hedge funds, commercial hedgers, and other market participants are positioned in US futures markets. Traders have used this data for decades.

The obvious question is: Does it actually predict returns?

I discuss recent research on this topic and test a commodity signal that appears to predict returns. Importantly, I examine what happens when you account for publication timing and implement the strategy in a way that is actually tradable.