Macro Economists in the Machine: A Multi-Agent LLM Framework for Commodity-Related ETF Portfolio Construction (opens in new tab)

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 rebalanc...