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Does The Cftc Commitments Of Traders Report Contain Useful Information?

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  • Sanders, Dwight R.
  • Boris, Keith

Abstract

The Commodity Futures Trading Commission's Commitments of Traders data are examined. Non-commercial positions are thought to contain the least amount of measurement error. Although non-commercials comprise a relatively small percent of the tested markets' open interest (10% to 22%), they have the most volatile net positions. The data demonstrates a statistically (positive) negative contemporaneous correlation between net positions held by (non) commercials and market returns. However, traders' net positions do not lead (Granger cause) market returns. In fact, returns lead traders' net positions. Positive returns result in an (increase) decrease in (non) commercials net positions the following week. The findings suggest that prior empirical results, which make assumptions about traders' positions not changing over a reporting interval, may be biased toward reflecting the contemporaneous position-return correlations reported in this research.

Suggested Citation

  • Sanders, Dwight R. & Boris, Keith, 2000. "Does The Cftc Commitments Of Traders Report Contain Useful Information?," 2000 Conference, April 17-18 2000, Chicago, Illinois 18929, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:ncrtci:18929
    DOI: 10.22004/ag.econ.18929
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    References listed on IDEAS

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