Abstract
The academic consensus is that index investment over the recent period of elevated commodity price did not affect returns. This view relies very largely on the analysis of US agricultural future markets for which the CFTC has provided index position data. That conclusion is correct but overlooks evidence that there were strong impacts on energy and metal markets where it is necessary to infer index positions from the agricultural data. Furthermore, these impacts are persistent. I follow Singleton (Management Science, 60, 300–318, 2014) in arguing that the impacts reflect changes in investor sentiment, reflected in changes in risk premia, and not informational advantage.
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