COMMODITY FUTURES PRICES AS FORECASTS
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Futures markets provide contemporaneous price quotations for a constellation of contracts, with maturities 30 or more months in the future, and a large literature exists about interpreting these prices as forecasts. It is often preferable to think of futures markets as determining a price level and price differences appropriate to the temporal definitions of the contracts. Futures prices can be efficient in reflecting a complex set of factors, but still be "poor" forecasters. Forecasts from quantitative models cannot improve upon efficient futures prices as forecasting agents; the models provide equally poor forecasts. Analogous ideas are discussed for basis forecasts.