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1 Introduction 2 Explore the Roll Yield 3 Simple Model 4 Comments 1 Introduction The aim of this write-up is to give some proof of …
5 min read Relative Value, Roll

1 Introduction 2 Corn ZH Example 3 Shiny 1 Introduction Full carry is achieved when the price of a later dated contract can be …
3 min read Full Carry, Corn, Calendar Spreads

1 Introduction 2 Side of the bet 3 Size of the bet 1 Introduction One of our main flavours of commodity alpha we like to harvest is …
3 min read Carry, Meta-Labeling

1 Introduction 2 Baseline Weights 3 Effect of confidence on weights 4 Conclusion 1 Introduction In this document, we construct a …
4 min read Portfolio Construction

Introduction Safex YW vs Cbot Safex YW vs Zar Introduction The aim of this report is to investigate the correlations between the …
3 min read Corn, Maize Parity

1 Introduction 2 Event Studies 2.1 Aggregated Example 2.2 Brent Crude Oil 2.3 Canola 2.4 Cocoa 2.5 Coffee 2.6 Corn 2.7 Cotton 2.8 Gas …
12 min read Bridgeton, Events Study, Market Positioning

1 Introduction 2 P&L by trendy series 3 P&L by trendy series and rules 3.1 SN1 3.2 SN2 3.3 SN3 3.4 SN4 3.5 SN5 3.6 SN6 3.7 SN7 …
7 min read Trend Following