WebFeb 5, 2013 · This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies in commodity futures markets. With significant annualized alphas of 10.14% and 12.66% respectively, the momentum and term structure strategies appear profitable when implemented individually. WebJan 1, 2012 · 2 Answers. Sorted by: 1. The generic contract CL1 Comdty has a historic field of FUT_CUR_GEN_TICKER. So you can pull back a timeseries of PX_LAST and FUT_CUR_GEN_TICKER. Then you can feed these underlying contract tickers into a BDP call for LAST_TRADEABLE_DT and subtract the PX_LAST date.
Merchant Commodity Storage and Term Structure Model …
Web1 day ago · Put simply, a backwardated term structure is when short-dated contracts trade at a premium to longer-dated contracts and may be suggesting buyers are willing to pay a premium for immediate ... WebSep 1, 2014 · The term structure of commodity futures is important information for traders and investors. Traditional term-structure strategies are static; they tend to use the slope … highcroft school durham
Term-Structure and Credit Derivatives Coursera
WebJan 12, 2024 · If there's a short-term or long-term supply shortage in a commodity, chances are the market structure will tend toward backwardation. Higher nearby prices might constrain demand or elasticity while at the same time encouraging producers to increase production as quickly as they can to take advantage of higher, prompt delivery … Web2 days ago · “Something can be a commodity and a security at the same time.” In other words, for the CFTC to have jurisdiction over a company like Binance, it has to classify the assets in question as... WebApr 11, 2024 · Unlike traditional commodity ETFs, Direxion Auspice Broad Commodity Strategy ETF tries to mitigate downside risk. ... This term structure approach is an … highcroft spennymoor