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Newswire Tone-Overlay Commodity Portfolios

Fernandez-Perez, A., Fuertes, A-M. ORCID: 0000-0001-6468-9845, Miffre, J. & Zhao, N. (2025). Newswire Tone-Overlay Commodity Portfolios. Journal of Banking & Finance, 178, article number 107501. doi: 10.1016/j.jbankfin.2025.107501

Abstract

This paper introduces the tone-overlay framework for adjusting traditional commodity signals based on the level of salient optimism or pessimism in commodity newswires. By implementing the novel tone-overlay allocation strategy on 26 commodities using traditional allocation signals, we demonstrate that the resulting long-short portfolios yield substantial performance gains compared to the corresponding plain-vanilla traditional portfolios. Our findings suggest that newswire tone provides short-term predictive power for commodity futures returns, beyond well-known commodity characteristics. The tone-overlay portfolios harness a temporary mispricing that reflects an overreaction of commodity futures prices to commodity-specific newswire tone. The outperformance of the tone overlay strengthens with the salience of the newswire tone, consistent with theories of limited investor attention.

Publication Type: Article
Additional Information: © 2025. This manuscript version is made available under the CC-BY-NC-ND 4.0 license https://creativecommons.org/licenses/by-nc-nd/4.0/
Publisher Keywords: Newswire tone-overlay portfolio, Textual analysis, Sentiment, Commodity futures, Tactical allocation, Mispricing, Salience
Subjects: H Social Sciences > HE Transportation and Communications
H Social Sciences > HG Finance
Departments: Bayes Business School
Bayes Business School > Finance
SWORD Depositor:
[thumbnail of SSRN_Newswire tone overlay comm port JBF2025.pdf] Text - Accepted Version
This document is not freely accessible until 21 December 2026 due to copyright restrictions.
Available under License Creative Commons Attribution Non-commercial No Derivatives.

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