New study reveals key factor for predicting Chinese commodity futures returns
The study looked at factors affecting commodity futures returns in China. They found that 6 out of 13 factors led to positive returns. By using different methods, they discovered that Partial Least Squares (PLS) was the best at predicting these returns. Combining 5 methods together resulted in higher returns and lower risk. The skewness factor was found to be the most important in predicting future returns in Chinese markets.