Systematic Trading research and development, with a flavour of Trend Following
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Entries Tagged as 'backwardation'

Trend Following returns breakdown

July 1st, 2010 · 4 Comments · Strategies, Trend Following

Following the previous post on backwardation, contango and crude oil, let’s look at how several factors can play a part in the overall trend following trading system performance. I have previously referenced the study by EDHEC Risk, which shows the different sources of return of a Trend Following strategy. The authors build the Mt. Lucas […]

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Crude Oil, Contango and Roll Yield for Commodity Trading

June 8th, 2010 · 2 Comments · Futures

We have already discussed how roll yield can negatively affect the overall return of a commodity holding The impact of contango or backwardation can be relatively large compared to the overall return. Petroleum has unfortunately been in the news lately. Nevertheless, Crude Oil performance last year gave us a good illustration of the impact that […]

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