Accessible Version

Revisiting the Forecasting Potential of Futures Prices, Accessible Data

Figure 1: Brent Oil Price 12-Month Forecast Performance
Date 12-month Futures/Spot Ratio Best Model
1/31/2006 1.05 Alternative Model
2/28/2006 1.07 Alternative Model
3/31/2006 1.03 Futures
4/28/2006 1.02 Alternative Model
5/31/2006 1.03 Alternative Model
6/30/2006 1.03 Alternative Model
7/31/2006 1.03 Futures
8/31/2006 1.07 Alternative Model
9/29/2006 1.10 Futures
10/31/2006 1.13 Futures
11/30/2006 1.08 Alternative Model
12/29/2006 1.09 Futures
1/31/2007 1.09 Futures
2/28/2007 1.09 Futures
3/30/2007 1.02 Alternative Model
4/30/2007 1.05 Futures
5/31/2007 1.04 Futures
6/29/2007 1.03 Futures
7/31/2007 0.96 Alternative Model
8/31/2007 0.97 Alternative Model
9/28/2007 0.96 Alternative Model
10/31/2007 0.94 Alternative Model
11/30/2007 0.97 Alternative Model
12/31/2007 0.96 Alternative Model
1/31/2008 0.98 Alternative Model
2/29/2008 0.98 Alternative Model
3/31/2008 0.97 Alternative Model
4/30/2008 0.97 Alternative Model
5/30/2008 1.00 Alternative Model
6/30/2008 1.02 Alternative Model
7/31/2008 1.03 Alternative Model
8/29/2008 1.05 Alternative Model
9/30/2008 1.08 Alternative Model
10/31/2008 1.18 Futures
11/28/2008 1.28 Futures
12/31/2008 1.35 Futures
1/30/2009 1.23 Futures
2/27/2009 1.17 Futures
3/31/2009 1.22 Futures
4/30/2009 1.21 Futures
5/29/2009 1.09 Alternative Model
6/30/2009 1.09 Futures
7/31/2009 1.09 Futures
8/31/2009 1.10 Alternative Model
9/30/2009 1.09 Futures
10/30/2009 1.09 Futures
11/30/2009 1.10 Futures
12/31/2009 1.08 Futures
1/29/2010 1.09 Alternative Model
2/26/2010 1.06 Alternative Model
3/31/2010 1.03 Alternative Model
4/30/2010 1.06 Alternative Model
5/31/2010 1.09 Alternative Model
6/30/2010 1.06 Alternative Model
7/30/2010 1.07 Alternative Model
8/31/2010 1.08 Futures
9/30/2010 1.05 Alternative Model
10/29/2010 1.04 Alternative Model
11/30/2010 1.02 Alternative Model
12/31/2010 1.00 Alternative Model
1/31/2011 1.01 Futures
2/28/2011 0.98 Alternative Model
3/31/2011 0.97 Alternative Model
4/29/2011 0.96 Alternative Model
5/31/2011 0.97 Alternative Model
6/30/2011 1.00 Alternative Model
7/29/2011 0.99 Alternative Model
8/31/2011 0.97 Alternative Model
9/30/2011 0.95 Alternative Model
10/31/2011 0.95 Alternative Model
11/30/2011 0.95 Alternative Model
12/30/2011 0.96 Alternative Model
1/31/2012 0.97 Alternative Model
2/29/2012 0.93 Futures
3/30/2012 0.93 Futures
4/30/2012 0.95 Alternative Model
5/31/2012 0.97 Alternative Model
6/29/2012 1.00 Alternative Model
7/31/2012 0.96 Alternative Model
8/31/2012 0.95 Alternative Model
9/28/2012 0.94 Alternative Model
10/31/2012 0.94 Alternative Model
11/30/2012 0.95 Alternative Model
12/31/2012 0.94 Alternative Model
1/31/2013 0.93 Futures
2/28/2013 0.93 Alternative Model
3/28/2013 0.95 Alternative Model
4/30/2013 0.96 Alternative Model
5/31/2013 0.97 Alternative Model
6/28/2013 0.96 Alternative Model
7/31/2013 0.94 Alternative Model
8/30/2013 0.91 Futures
9/30/2013 0.93 Futures
10/31/2013 0.95 Futures
11/29/2013 0.96 Futures
12/31/2013 0.95 Futures
1/31/2014 0.95 Alternative Model
2/28/2014 0.95 Futures
3/31/2014 0.96 Futures
4/30/2014 0.95 Futures
5/30/2014 0.95 Futures
6/30/2014 0.95 Futures
7/31/2014 0.99 Alternative Model
8/29/2014 1.00 Alternative Model
9/30/2014 1.03 Alternative Model
10/31/2014 1.05 Alternative Model
11/28/2014 1.08 Alternative Model
12/31/2014 1.16 Alternative Model
1/30/2015 1.19 Alternative Model
2/27/2015 1.12 Alternative Model
3/31/2015 1.15 Alternative Model
4/30/2015 1.06 Alternative Model
5/29/2015 1.06 Alternative Model
6/30/2015 1.07 Alternative Model
7/31/2015 1.13 Alternative Model
8/31/2015 1.13 Alternative Model
9/30/2015 1.13 Alternative Model
10/30/2015 1.14 Alternative Model
11/30/2015 1.16 Futures
12/31/2015 1.22 Futures
1/29/2016 1.23 Futures
2/29/2016 1.18 Futures
3/31/2016 1.14 Futures
4/29/2016 1.04 Alternative Model
5/31/2016 1.06 Alternative Model
6/30/2016 1.08 Alternative Model
7/29/2016 1.13 Futures
8/31/2016 1.07 Futures
9/30/2016 1.10 Futures
10/31/2016 1.09 Futures
11/30/2016 1.09 Alternative Model
12/30/2016 1.03 Futures
1/31/2017 1.01 Futures
2/28/2017 1.02 Futures
3/31/2017 1.02 Alternative Model
4/28/2017 1.02 Alternative Model
5/31/2017 1.03 Futures
6/30/2017 1.07 Futures
7/31/2017 1.02 Alternative Model
8/31/2017 1.02 Alternative Model
9/29/2017 0.96 Alternative Model
10/31/2017 0.95 Alternative Model
11/30/2017 0.94 Futures
12/29/2017 0.94 Futures
1/31/2018 0.94 Futures
2/28/2018 0.93 Alternative Model
3/29/2018 0.92 Alternative Model
4/30/2018 0.92 Alternative Model
5/31/2018 0.95 Alternative Model
6/29/2018 0.94 Alternative Model
7/31/2018 0.98 Alternative Model
8/31/2018 0.96 Alternative Model
9/28/2018 0.95 Alternative Model
10/31/2018 0.98 Alternative Model
11/30/2018 1.02 Futures
12/31/2018 1.03 Alternative Model
1/31/2019 0.98 Futures
2/28/2019 0.99 Futures
3/29/2019 0.95 Futures
4/30/2019 0.93 Futures
5/31/2019 0.92 Alternative Model
6/28/2019 0.93 Alternative Model
7/31/2019 0.95 Alternative Model
8/30/2019 0.93 Alternative Model
9/30/2019 0.92 Alternative Model
10/31/2019 0.93 Alternative Model
11/29/2019 0.91 Futures
12/31/2019 0.91 Futures
1/31/2020 0.94 Futures
2/28/2020 1.01 Alternative Model
3/31/2020 1.73 Futures
4/30/2020 1.44 Futures
5/29/2020 1.19 Futures
6/30/2020 1.06 Alternative Model
7/31/2020 1.07 Futures
8/31/2020 1.07 Futures
9/30/2020 1.11 Futures
10/30/2020 1.11 Futures
11/30/2020 1.01 Alternative Model
12/31/2020 0.97 Alternative Model
1/29/2021 0.93 Alternative Model
2/26/2021 0.89 Alternative Model
3/31/2021 0.92 Alternative Model
4/30/2021 0.93 Alternative Model
5/31/2021 0.93 Alternative Model
6/30/2021 0.91 Alternative Model
7/30/2021 0.91 Alternative Model
8/31/2021 0.92 Alternative Model
9/30/2021 0.91 Alternative Model
10/29/2021 0.89 Alternative Model
11/30/2021 0.93 Alternative Model
12/31/2021 0.93 Alternative Model
1/31/2022 0.87 Alternative Model
2/28/2022 0.83 Futures
3/31/2022 0.84 Futures
4/29/2022 0.83 Futures
5/31/2022 0.78 Futures
6/30/2022 0.80 Futures
7/29/2022 0.83 Futures
8/31/2022 0.89 Futures
9/30/2022 0.86 Alternative Model
10/31/2022 0.87 Futures
11/30/2022 0.97 Alternative Model
12/30/2022 0.93 Futures
1/31/2023 0.95 Futures
2/28/2023 0.93 Alternative Model
3/31/2023 0.95 Alternative Model
4/28/2023 0.96 Alternative Model
5/31/2023 0.96 Alternative Model
6/30/2023 0.98 Alternative Model
7/31/2023 0.94 Futures
8/31/2023 0.94 Alternative Model
9/29/2023 0.87 Futures
10/31/2023 0.92 Futures
11/30/2023 0.94 Futures
12/29/2023 0.96 Futures
1/31/2024 0.93 Futures
2/29/2024 0.91 Futures
3/28/2024 0.91 Futures
4/30/2024 0.91 Futures
5/31/2024 0.95 Futures
6/28/2024 0.92 Futures
7/31/2024 0.95 Alternative Model
8/30/2024 0.93 Alternative Model
9/30/2024 0.99 Futures
10/31/2024 0.97 Alternative Model
11/29/2024 0.96 Alternative Model
12/31/2024 0.95 Futures
1/31/2025 0.92 Futures
2/28/2025 0.94 Alternative Model
3/31/2025 0.93 Alternative Model
4/30/2025 0.97 Alternative Model
5/30/2025 0.97 Alternative Model
6/30/2025 0.96 Alternative Model
7/31/2025 0.94 Alternative Model
8/29/2025 0.97 Alternative Model

Notes: Alternative models include random walk, momentum, and mean-reversion. The dotted line at 1 represents when 12-month futures and spot prices are the same.

Source: Haver analytics, FRB Staff Calculations.

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Last Update: September 03, 2026