- 1 Introduction
- 2 AC vs AK
- 3 BO vs IJ
- 4 BO vs SH
- 5 C vs CA
- 6 C vs CT
- 7 C vs CUA
- 8 C vs DL
- 9 C vs EP
- 10 C vs FC
- 11 C vs KW
- 12 C vs LC
- 13 C vs LH
- 14 C vs MW
- 15 C vs RR
- 16 C vs S
- 17 C vs SB
- 18 C vs W
- 19 C vs YW
- 20 CC vs QC
- 21 CL vs CO
- 22 CO vs CL
- 23 China RS crush
- 24 China S crush
- 25 DA vs CHE
- 26 DF vs KC
- 27 EP vs CA
- 28 HO vs BO
- 29 HO vs XB
- 30 IJ vs RS
- 31 KO vs BO
- 32 KO vs PAL
- 33 KO vs SH
- 34 KW vs CA
- 35 KW vs MW
- 36 KW vs RR
- 37 LH vs LC
- 38 PAL vs SH
- 39 PAL vs ZRO
- 40 RS crush
- 41 RS vs BO
- 42 RS vs KO
- 43 S vs AK
- 44 SB vs CB
- 45 SB vs DL
- 46 SB vs QW
- 47 SH vs ZRO
- 48 SM vs AE
- 49 SM vs S
- 50 W vs CA
- 51 W vs KW
- 52 W vs MW
- 53 W vs S
- 54 XB vs CUA
- 55 XB vs DL
- 56 XB vs SB
- 57 YW vs WZ
- 58 ZRR vs AE
- 59 cattle roi
- 60 crack 321
- 61 crack 532
- 62 crush
- 63 Remarks
1 Introduction
Following the results of the Sugar Spread and Curve Structure post we determine similar plots that show the returns and roll yields of a collection of different inter-commodity spreads we are interested in. We do not share the roll schedule here, but the sizing can be found in the Relative Sizing post. In all the plots below we take the natural logarithm of the value of a USD 1 investment at the start of each timeseries. The reason for this is to linearise the cummulative return series. Since the Roll Yield is a linear chaning quantity it makes more sense to compare it with the linearised cummulative returns. Note that we did not take any costs or slippage into account in producing the values of the USD 1 investments.
2 AC vs AK
3 BO vs IJ
4 BO vs SH
5 C vs CA
6 C vs CT
7 C vs CUA
8 C vs DL
9 C vs EP
10 C vs FC
11 C vs KW
12 C vs LC
13 C vs LH
14 C vs MW
15 C vs RR
16 C vs S
17 C vs SB
18 C vs W
19 C vs YW
20 CC vs QC
21 CL vs CO
22 CO vs CL
23 China RS crush
24 China S crush
25 DA vs CHE
26 DF vs KC
27 EP vs CA
28 HO vs BO
29 HO vs XB
30 IJ vs RS
31 KO vs BO
32 KO vs PAL
33 KO vs SH
34 KW vs CA
35 KW vs MW
36 KW vs RR
37 LH vs LC
38 PAL vs SH
39 PAL vs ZRO
40 RS crush
41 RS vs BO
42 RS vs KO
43 S vs AK
44 SB vs CB
45 SB vs DL
46 SB vs QW
47 SH vs ZRO
48 SM vs AE
49 SM vs S
50 W vs CA
51 W vs KW
52 W vs MW
53 W vs S
54 XB vs CUA
55 XB vs DL
56 XB vs SB
57 YW vs WZ
58 ZRR vs AE
59 cattle roi
60 crack 321
61 crack 532
62 crush
63 Remarks
These images are just a quick reference guide to have a birds eye view of the influence of the roll yield on the return of an inter-commodity spread. Througout we assume a long position in the second commodity. In the case where the spread is made up of a linear combination of the prices of three commodities we assume a long position in the crack. For example, in the case of the cattle roi we have LC, FC and C. Here we assume a long position in FC + C and a short in LC. Similarly, for crack321 consisting of CL, XB and HO, we assume a long position in XB + HO and a short in CL.