Debunking Long-Only Commodity Investing

Dr Mauritz van den Worm, PhD

18 July, 2019

Overview

Rough Outline

  • Introduce the BCOM 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
  • Alternative strategies
  • Polar Star Diversified Portfolio

BCOM Index

BCOM Evolution

BCOM Weights

Aggregated Weights

Curve Shape

Contango

Backwardation

The effect of roll yield - Corn