News Sentiment and Commodity Futures Investing

Chi Yeguang, Lina El‐Jahel and Thanh Vu

Journal of Futures Markets, 2025, vol. 45, issue 10, 1740-1756

Abstract: We investigate the role of media news sentiment in commodity futures investing. The weekly rebalanced long‐short portfolio sorted by news sentiment generates a significant average annualized return of around 8.3% after transaction costs. The time‐series spanning test reveals that the abnormal return of the long‐short portfolio sorted by news sentiment is statistically significant at above 7% even after controlling for various benchmark factors. The premium of the news sentiment factor is also significantly priced at above 8% in the cross‐section of commodity futures returns. Furthermore, we show that news sentiment enhances the performance of commodity futures investment portfolios.

Date: 2025
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https://doi.org/10.1002/fut.70019

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