Table 3.
Out-of-sample predictability without recessions.
This table reports out-of-sample evaluations using relative out-of-sample R-squared (OOS) and Theil's U statistic (U). We set the out-of-sample period equivalent to 50% of the sample size. *, **, and *** are significance at the 10%, 5%, and 1% levels, respectively.
| Time Spans |
||||
|---|---|---|---|---|
| 1871–2005 | 1629–2005 | |||
| Individual returns | OOS | U | OOS | U |
| Aluminium | 0.0152 | 1.0161 | 0.0226 | 1.0710 |
| Banana | −0.2269 | 1.1470 | −0.2269 | 1.1470 |
| Beef | 0.0221 | 1.0124 | −0.7395 | 0.8973 |
| Coal | 0.0116 | 1.0064 | 0.0182 | 1.0516 |
| Cocoa | −0.0069 | 1.0090 | −0.3370 | 0.8924 |
| Coffee | −0.3380 | 1.1122 | −0.0051 | 1.0045 |
| Copper | −0.0078 | 0.9954 | −0.0686 | 0.8980 |
| Cotton | 0.0132 | 1.0044 | −0.0064 | 1.0065 |
| Gold | 0.0213 | 0.9781 | −0.1750 | 0.9147 |
| Hide | −0.0362 | 1.0525 | −0.0216 | 1.0162 |
| Jute | −0.1746 | 1.1119 | −0.6872 | 0.8780 |
| Lamb | −0.1235 | 0.9988 | −0.0511 | 1.0398 |
| Lead | −0.0087 | 1.0355 | −0.0087 | 1.0355 |
| Nickel | −0.3015 | 1.1360 | −0.0212 | 0.9537 |
| Oil | −0.1279 | 1.1058 | −0.0156 | 0.9576 |
| Pig iron | −0.0140 | 1.0344 | 0.0024 | 0.9995 |
| Rice | −0.0198 | 1.0460 | −0.6523 | 0.8908 |
| Silver | 0.0071 | 0.9974 | −0.4590 | 0.9083 |
| Sugar | −0.0154 | 1.0406 | 0.0066 | 1.0579 |
| Tea | 0.0262 | 0.9854 | −0.0166 | 1.0027 |
| Tin | −0.0057 | 0.9931 | 0.0068 | 1.0226 |
| Tobacco | −0.2202 | 1.0877 | −0.0171 | 0.9741 |
| Wheat | −0.1712 | 1.0510 | −0.4398 | 0.9112 |
| Wool | −0.0236 | 1.0301 | −0.8143 | 0.9184 |
| Zinc | −0.0050 | 1.0119 | 0.0188 | 0.9663 |
| Market returns | ||||
| Metals | −0.0410 | 1.0709 | −0.0410 | 1.0709 |
| Energy | −0.0342 | 0.2606 | 0.0114 | 1.0236 |
| Livestock & Meat | −0.0218 | 1.0318 | 0.0055 | 1.0132 |
| Agriculture | −0.1270 | 1.0830 | −0.1270 | 1.0830 |