Smart Money? The Forecasting Ability of CFTC Large Traders
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The forecasting ability of the Commodity Futures Trading Commission’s Commitment’s of Traders
data set is investigated. Bivariate Granger causality tests show very little evidence that traders’
positions are useful in forecasting (leading) market returns. However, there is substantial evidence
that traders respond to price changes. In particular, non-commercial traders display a tendency
for trend-following. The other trader classifications display mixed styles, perhaps indicating that
those trader categories capture a variety of traders. The results generally do not support the use of
the Commitment’s of Traders data in predicting market movements.