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Macro Economists in the Machine: A Multi-Agent LLM Framework for Commodity-Related ETF Portfolio Construction

Author

Listed:
  • Yiqing Wang
  • Dehao Dai
  • Ding Ma
  • Kerui Geng

Abstract

We test whether large language models (LLMs) add value in commodity portfolio construction when the information set and implementation rules are held fixed across strategies. A Hawkish Agent (inflation-tightening prior), a Dovish Agent (growth-easing prior), a Debate Agent, and a deterministic z-score Rule Agent each receive identical FRED macro z-scores and route their tilt signals through the same portfolio engine. Across 124 weekly rebalancing dates spanning the 2023 U.S. rate peak and the 2024-2025 soft landing, all three LLM strategies outperform the Rule Agent in Sharpe terms; the Hawkish and Debate Agents record the largest gains (\Delta Sharpe = +0.044 and +0.040, both p

Suggested Citation

  • Yiqing Wang & Dehao Dai & Ding Ma & Kerui Geng, 2026. "Macro Economists in the Machine: A Multi-Agent LLM Framework for Commodity-Related ETF Portfolio Construction," Papers 2606.08283, arXiv.org.
    • Handle: RePEc:arx:papers:2606.08283
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