Multiscale spillovers, connectedness, and portfolio management among precious and industrial metals, energy, agriculture, and livestock futures

This study examines the connectedness among 28 commodity futures markets comprising precious metals, industrial metals, energy, agriculture, and livestock. We use the frequency-domain spillover method of Baruník and Křehlík (2018) and wavelet approach to account for investment horizons. The results show evidence of time-varying spillovers, which is intensified by economic and political events. The total spillover is higher in the short term than in the long term. Livestock market is the least contributor/receiver of risk to/from other markets. A portfolio risk analysis reveals that a combined portfolio composed of WTI crude oil and other commodity assets offers better downside risk reduction. The latter is more important in the short term than in the long term. These results are important for investors and policymakers. • We examine the connectedness among metals, energy, agriculture, and livestock futures markets. • We employ the frequency-domain spillover by Baruník and Křehlík (2018) and wavelet method. • The total spillover among commodity markets is higher in the short term than in the long term. • Livestock markets are the least contributor/receiver of risk to/from other markets. • Crude oil and other commodity asset portfolio offers better downside risk reduction in the short term.