Super backwardation trips up commodity carry trade
Wrong type of curve derails quants’ commodity carry trade for worst spell in decades
Commodities markets are roaring. But for one quant strategy, that’s not great news.
Historic spikes in prices sparked by pandemic recovery and war in Ukraine have flipped commodity futures curves back to front and inside out. And for so-called curve carry strategies, that’s about as bad as it could get: a trade that delivered positive returns in all but one of the past 19 years is suddenly
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Investing
UBS to launch merger arb QIS
Bank partners with German asset manager First Private to screen deals using machine learning
FSB warns of ‘circles of risks’ in bank risk transfer deals
Credit lines, portfolio financing and NAV facilities for private credit funds could rebound on banks
Hedge fund CIO flags risks from ‘fragile’ market structure
Next big market shock will lead to “liquidity driven bankruptcies”, says Adapt’s Maubourguet
Custom index TRS booms at BlackRock
Isda AGM: Bespoke total return swaps span all mandate types but e-trading bottlenecks remain
FX options traders lost in Iran fog
Headline ‘ping-pong’ saps hedge funds’ conviction, though pockets of vol selling have re-emerged
Quants like Andrew Ang are making the case for AI agents
AI agents can boost human managers by analysing investments, risks and portfolio choices at scale
The dollar do-si-do: hedgers review FX moves
Brief return of US dollar to safe-haven status amid Iran upheaval prompts real money investors to pause hedging activity
Middle East crisis revives demand for VKOs – with a twist
Equity investors balance fear and optimism by pairing 2022’s best hedge with lookback options
