Do Supply-Chain Stress and Geopolitical Risk Predict Strategic Commodity and Clean Energy Market Returns? Evidence from Explainable Machine Learning

This study examines whether daily supply-chain stress and geopolitical risk improve the forecasting of strategic commodity and clean energy market returns. Using daily data on aluminum, copper, nickel, and clean energy from 10 February 2015 to 27 February 2026, the analysis compares a baseline forecasting model based on conventional market controls with augmented specifications that incorporate supply-chain stress, geopolitical risk, and their joint effects. The empirical framework combines multiple machine-learning algorithms with SHAP-based explainability to evaluate both forecast performance and the relative importance of predictors. Formal Diebold-Mariano tests are also used to assess whether the forecasting gains from augmented specifications are statistically significant. A Model Confidence Set analysis is further used to identify statistically superior model groups across the full set of algorithm-specification combinations. The results show that disruption-related predictors contain asset-specific forecasting information, while the comparison across algorithms indicates that no single model uniformly dominates across all assets and loss functions. The forecasting gains from disruption-related predictors, however, are strongly asset-specific and statistically uneven. For aluminum returns, augmented specifications that include supply-chain stress and/or geopolitical risk significantly improve forecast accuracy relative to the baseline. For copper returns, the evidence is weaker and mainly associated with geopolitical risk. For nickel returns, the joint inclusion of supply-chain stress and geopolitical risk provides the greatest improvement. By contrast, clean energy returns remain more closely tied to conventional macro-financial conditions, with no statistically significant incremental gains from disruption-related variables. SHAP evidence further indicates that predictor importance is asset-specific rather than dominated by a single market factor across all assets. The findings highlight the importance of combining flexible forecasting methods with economically interpretable tools when evaluating disruption-sensitive commodity and clean energy markets.