Research method
Commodity carry analysis
Commodity carry analysis is a canonical archive-taxonomy method; this registry entry defines its inputs, output and use boundary.
- Output
- Market-regime classification
- Input
- Cross-market prices, volatility, carry and portfolio weights
- Horizon
- Weeks to months
- Best use
- Put a single trade into a diversified or regime-aware context.
- Input: Cross-market prices, volatility, carry and portfolio weights.
- Output: market-regime.
- Use boundary: Put a single trade into a diversified or regime-aware context.
The archive
Where the method has been read
Read in the archive9 readings
1990Building index futures fair value from cash-and-carry2000Build a four-market commodity overlay for inflation regime context2010Softs stocks-to-use and semiannual event windows2012Contango and credit risk in listed commodity and volatility wrappers2014A cheap-looking long in volatility-index futures is a classroom, not a fear hedge2015A wide Treasury calendar and the 2015 delivery gap2015A 2015 forced unwind is not a commodity-regime verdict2017Contango, carry, and contract choice in equity-index volatility futures2018One commodity-index future, three classroom decisions
This registry entry describes a research method. It is not investment advice and does not make a performance claim.