A Better Long-Only Commodity Product

Dr Mauritz van den Worm, PhD

30 January, 2020

Overview

Rough Outline

  • Introduce the GSCI Index as long-only proxy
  • Define backwardation and contango
  • Curve impact of roll ajusted price series
  • Reconstruct long-only Index
  • Performance attribution during backwardation and contango
  • Improving the long-only Index
  • Shameless propaganda

GSCI Index

BSCI Evolution

GSCI Weights by sector

GSCI Weights by commodity

GSCI Commodity Correlations

Curve Shape

Contango

Backwardation

The effect of roll yield - Corn