Salmon futures and the Fish Pool market in the context of the CAPM and a three-factor model

Futures on fresh farmed salmon traded at the Fish Pool market in Norway are analyzed context of Capital Asset Pricing Model (CAPM) and a corresponding three-factor model where contracts separated based their maturities. Looking into 1 month; 6 months 12 contracts, we find that all alphas most betas statistically insignificant. We conclude CAPM equilibrium condition holds Salmon futures prices move largely uncorrelated with portfolio therefore offer no systematic risk premium. The latter documents should be considered as pure hedging instrument rather than an investment asset.