Cumulative return of the signal portfolios (long-short terciles, weekly)
Rolling 52-week Sharpe ratio
Drawdown
Performance in the selected range
F1 roll-adjusted (Panama) and weekly returns
Nelson-Siegel parameters
Spread F1F2 (log F1 - log F2, monthly mean; positive = backwardation)
Curve date
Nelson-Siegel: observed vs. fitted curve (month end)
NFCP N=2 (Schwartz-Smith): fitted vs. observed futures curve
NFCP states chi / xi (parameters estimated up to 2018-12-31)
beta1 ranking (cross-section, month end; 1 = highest beta1)
NFCP parameters per market
| Market | kappa | sigma1 | sigma2 | rho | logLik | plausible | last state |
|---|---|---|---|---|---|---|---|
| ALI | 4.04 | 0.893 | 4.149 | -0.96 | 2793 | yes | 2023-12-08 |
| BZ | 0.64 | 0.247 | 1.085 | 0.20 | 9511 | yes | 2023-10-13 |
| CB | 4.53 | 0.422 | 1.107 | -0.88 | 3157 | yes | 2023-12-08 |
| CC | 0.63 | 0.229 | 0.169 | 0.17 | 9995 | yes | 2023-11-24 |
| CL | 1.03 | 0.249 | 0.219 | 0.19 | 9608 | yes | 2023-11-03 |
| CSC | 4.17 | 2.493 | 0.502 | 0.48 | 2501 | yes | 2023-12-08 |
| CT | 2.36 | 0.276 | 0.399 | -0.50 | 8425 | yes | 2023-11-17 |
| DC | 2.52 | 0.126 | 0.378 | -0.49 | 5903 | yes | 2023-12-08 |
| G | 2.45 | 0.501 | 0.791 | -0.98 | 24838 | yes | 2023-12-08 |
| GC | 0.13 | 0.204 | 0.055 | -0.26 | 16117 | yes | 2023-12-08 |
| GF | 2.28 | 0.185 | 0.637 | -0.45 | 7044 | yes | 2023-10-27 |
| HE | 1.97 | 0.254 | 0.595 | -0.73 | 3507 | yes | 2023-12-01 |
| HG | 0.02 | 1.289 | 1.456 | -0.99 | 11654 | yes | 2023-12-08 |
| HO | 0.59 | 0.211 | 0.234 | -0.01 | 8441 | yes | 2023-11-10 |
| KC | 3.07 | 0.243 | 2.009 | 0.28 | 8743 | yes | 2023-12-01 |
| LBS | 0.29 | 1.552 | 1.753 | -0.98 | 10513 | yes | 2023-10-27 |
| LE | 1.25 | 0.135 | 0.182 | -0.33 | 6705 | yes | 2023-12-08 |
| NG | 1.55 | 0.218 | 0.494 | -0.21 | 4362 | yes | 2023-11-10 |
| OJ | 0.48 | 2.044 | 0.564 | -0.59 | 11289 | yes | 2023-10-20 |
| PA | 0.02 | 2.862 | 2.863 | -0.99 | 16883 | yes | 2023-12-08 |
| PL | 9.36 | 2.168 | 1.889 | -0.99 | 12856 | yes | 2023-12-08 |
| RB | 2.85 | 0.274 | 0.290 | 0.14 | 4349 | yes | 2023-11-10 |
| RS | 2.38 | 0.240 | 1.808 | -0.60 | 8999 | yes | 2023-10-27 |
| SB | 1.94 | 0.205 | 0.395 | -0.10 | 9358 | yes | 2023-09-08 |
| SI | 0.01 | 0.678 | 0.621 | -0.86 | 14912 | yes | 2023-12-08 |
| ZC | 0.63 | 0.298 | 0.334 | -0.51 | 6743 | yes | 2023-11-24 |
| ZL | 0.14 | 0.385 | 0.437 | -0.83 | 10491 | yes | 2023-11-24 |
| ZM | 1.81 | 0.234 | 0.216 | -0.10 | 6289 | yes | 2023-11-24 |
| ZO | 3.25 | 0.355 | 0.809 | -0.66 | 8897 | yes | 2023-11-24 |
| ZR | 0.16 | 1.625 | 1.762 | -0.99 | 7487 | yes | 2023-10-27 |
| ZS | 2.43 | 0.258 | 0.284 | 0.20 | 6929 | yes | 2023-10-27 |
| ZW | 0.44 | 0.309 | 0.473 | -0.67 | 8443 | yes | 2023-11-24 |
| IN | 3.95 | 3.994 | 5.456 | -1.00 | 20765 | no | 2022-12-09 |
| L | 0.00 | 3.523 | 3.949 | -0.96 | 13664 | no | 2021-11-26 |
| ZK | 1.33 | 0.202 | 0.478 | -0.33 | 7507 | no | 2021-08-06 |
Performance per sub-period (gross, no costs)
| Period | Strategy | Return p.a. % | Vol p.a. % | Sharpe | t (NW) | Max DD % | Hit rate % | Weeks |
|---|---|---|---|---|---|---|---|---|
| Full | Basis momentum | 10.8 | 12.8 | 0.84 | 3.17 | -34.3 | 55.0 | 782 |
| Full | Carry | 11.0 | 14.9 | 0.74 | 2.98 | -24.7 | 55.4 | 826 |
| Full | Spread F1F3 | 10.1 | 15.2 | 0.67 | 2.62 | -33.0 | 55.3 | 819 |
| Full | Spread F1F2 | 9.2 | 14.7 | 0.62 | 2.51 | -28.3 | 56.3 | 824 |
| Full | Basis momentum (UBS) | 8.0 | 14.0 | 0.57 | 2.25 | -36.5 | 53.3 | 723 |
| Full | Equal-weight long | 6.7 | 13.1 | 0.52 | 1.88 | -45.2 | 54.8 | 852 |
| Full | NFCP chi (short-term) | 6.2 | 12.7 | 0.49 | 1.97 | -41.3 | 52.3 | 830 |
| Full | NFCP xi (long-term) | 4.5 | 14.1 | 0.31 | 1.30 | -48.9 | 52.7 | 830 |
| Full | NS beta0 (long end) | -1.4 | 15.3 | -0.09 | -0.36 | -46.1 | 49.7 | 809 |
| Full | NS beta1 (slope) | -3.3 | 14.9 | -0.22 | -0.86 | -57.3 | 50.1 | 809 |
| Full | NS beta2 (curvature) | -6.1 | 14.1 | -0.43 | -1.76 | -70.8 | 45.6 | 809 |
| Full | F1 Panama return (1w) | -9.2 | 17.4 | -0.53 | -2.17 | -88.2 | 45.1 | 831 |
| Pre-GFC (<2008) | Equal-weight long | 88.6 | 21.7 | 4.09 | 1.83 | -2.7 | 72.2 | 18 |
| GFC 2008-09 | Spread F1F3 | 33.9 | 16.7 | 2.03 | 3.24 | -9.9 | 63.4 | 101 |
| GFC 2008-09 | Carry | 32.9 | 18.3 | 1.80 | 2.78 | -9.9 | 64.4 | 101 |
| GFC 2008-09 | Spread F1F2 | 27.1 | 17.7 | 1.53 | 2.61 | -8.9 | 64.4 | 101 |
| GFC 2008-09 | NFCP chi (short-term) | 16.2 | 14.2 | 1.14 | 1.72 | -15.8 | 55.4 | 101 |
| GFC 2008-09 | NFCP xi (long-term) | 9.7 | 17.1 | 0.57 | 0.88 | -24.7 | 60.4 | 101 |
| GFC 2008-09 | F1 Panama return (1w) | 3.4 | 23.1 | 0.15 | 0.19 | -27.5 | 46.5 | 101 |
| GFC 2008-09 | Basis momentum | 0.9 | 12.8 | 0.07 | 0.06 | -15.1 | 51.9 | 52 |
| GFC 2008-09 | Equal-weight long | -5.8 | 21.4 | -0.27 | -0.34 | -45.2 | 52.9 | 104 |
| GFC 2008-09 | NS beta2 (curvature) | -5.7 | 17.2 | -0.33 | -0.45 | -23.9 | 42.6 | 101 |
| GFC 2008-09 | NS beta0 (long end) | -7.3 | 18.5 | -0.39 | -0.58 | -24.8 | 45.5 | 101 |
| GFC 2008-09 | NS beta1 (slope) | -18.7 | 18.2 | -1.03 | -1.47 | -36.7 | 45.5 | 101 |
| Post-GFC 2010-18 | Basis momentum | 12.9 | 11.3 | 1.14 | 3.56 | -11.1 | 54.0 | 470 |
| Post-GFC 2010-18 | Basis momentum (UBS) | 9.3 | 12.2 | 0.76 | 2.44 | -14.5 | 51.9 | 470 |
| Post-GFC 2010-18 | Carry | 8.9 | 12.1 | 0.73 | 2.16 | -18.2 | 53.6 | 470 |
| Post-GFC 2010-18 | Spread F1F2 | 7.6 | 12.0 | 0.63 | 1.88 | -16.0 | 54.0 | 470 |
| Post-GFC 2010-18 | NFCP chi (short-term) | 6.5 | 10.8 | 0.61 | 1.80 | -21.4 | 52.3 | 470 |
| Post-GFC 2010-18 | Spread F1F3 | 7.8 | 13.1 | 0.59 | 1.76 | -24.6 | 54.3 | 470 |
| Post-GFC 2010-18 | NFCP xi (long-term) | 5.9 | 11.9 | 0.50 | 1.48 | -12.3 | 53.0 | 470 |
| Post-GFC 2010-18 | Equal-weight long | 2.7 | 9.7 | 0.28 | 0.81 | -25.3 | 52.8 | 470 |
| Post-GFC 2010-18 | NS beta1 (slope) | 0.8 | 12.4 | 0.06 | 0.20 | -31.7 | 50.6 | 470 |
| Post-GFC 2010-18 | NS beta0 (long end) | 0.1 | 12.4 | 0.01 | 0.04 | -25.4 | 50.4 | 470 |
| Post-GFC 2010-18 | NS beta2 (curvature) | -5.3 | 11.9 | -0.45 | -1.40 | -45.9 | 47.2 | 470 |
| Post-GFC 2010-18 | F1 Panama return (1w) | -12.3 | 12.9 | -0.95 | -2.86 | -76.6 | 44.0 | 470 |
| COVID 2020 | Equal-weight long | 13.8 | 17.0 | 0.81 | 0.64 | -22.1 | 65.4 | 52 |
| COVID 2020 | Carry | 2.1 | 22.9 | 0.09 | 0.12 | -19.6 | 57.7 | 52 |
| COVID 2020 | NFCP xi (long-term) | 0.7 | 22.1 | 0.03 | 0.03 | -28.9 | 51.9 | 52 |
| COVID 2020 | NS beta0 (long end) | 0.7 | 25.3 | 0.03 | 0.02 | -24.0 | 40.4 | 52 |
| COVID 2020 | NFCP chi (short-term) | -0.1 | 18.3 | -0.00 | -0.01 | -14.7 | 48.1 | 52 |
| COVID 2020 | Spread F1F3 | -0.9 | 21.3 | -0.04 | -0.04 | -22.1 | 55.8 | 52 |
| COVID 2020 | Basis momentum (UBS) | -1.2 | 18.1 | -0.07 | -0.08 | -17.1 | 55.8 | 52 |
| COVID 2020 | NS beta2 (curvature) | -4.7 | 18.6 | -0.25 | -0.34 | -16.1 | 50.0 | 52 |
| COVID 2020 | Basis momentum | -6.3 | 18.5 | -0.34 | -0.37 | -22.4 | 50.0 | 52 |
| COVID 2020 | Spread F1F2 | -8.4 | 23.4 | -0.36 | -0.43 | -25.4 | 59.6 | 52 |
| COVID 2020 | NS beta1 (slope) | -8.7 | 22.5 | -0.39 | -0.35 | -22.7 | 42.3 | 52 |
| COVID 2020 | F1 Panama return (1w) | -25.1 | 25.6 | -0.98 | -1.10 | -31.5 | 42.3 | 52 |
| Post-COVID 2021+ | Equal-weight long | 15.1 | 12.9 | 1.17 | 2.23 | -10.3 | 56.4 | 156 |
| Post-COVID 2021+ | Basis momentum | 11.0 | 15.6 | 0.71 | 1.09 | -34.3 | 59.6 | 156 |
| Post-COVID 2021+ | Carry | 10.9 | 17.6 | 0.62 | 1.02 | -21.0 | 56.3 | 151 |
| Post-COVID 2021+ | Spread F1F2 | 10.0 | 16.8 | 0.60 | 0.93 | -22.1 | 57.7 | 149 |
| Post-COVID 2021+ | Spread F1F3 | 9.2 | 17.7 | 0.52 | 0.83 | -24.0 | 55.6 | 144 |
| Post-COVID 2021+ | NS beta1 (slope) | 4.0 | 16.5 | 0.24 | 0.39 | -17.4 | 56.0 | 134 |
| Post-COVID 2021+ | NS beta0 (long end) | 4.0 | 17.4 | 0.23 | 0.38 | -20.8 | 53.0 | 134 |
| Post-COVID 2021+ | Basis momentum (UBS) | 3.5 | 17.6 | 0.20 | 0.34 | -36.5 | 54.4 | 149 |
| Post-COVID 2021+ | NFCP xi (long-term) | 1.9 | 16.2 | 0.12 | 0.23 | -29.9 | 50.3 | 155 |
| Post-COVID 2021+ | NFCP chi (short-term) | 1.8 | 15.3 | 0.12 | 0.18 | -31.3 | 54.2 | 155 |
| Post-COVID 2021+ | F1 Panama return (1w) | -4.8 | 21.9 | -0.22 | -0.45 | -37.1 | 46.8 | 156 |
| Post-COVID 2021+ | NS beta2 (curvature) | -6.4 | 17.9 | -0.36 | -0.59 | -27.8 | 44.0 | 134 |
Correlation of the weekly strategy returns
IC per signal across markets: close-to-close
IC per signal across markets: open-to-close (intraday)
IC per signal across markets: close-to-open (overnight)
|IC| per market (all signals and horizons, C2C)
Rolling 52-week IC (cross-section)
IC table (cross-sectional IC per week; Newey-West t, lag = horizon in weeks)
| C2C | O2C | C2O | |||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Signal | Horizon | Mean IC | t (NW) | % pos. | ICIR | Mean IC | t (NW) | % pos. | ICIR | Mean IC | t (NW) | % pos. | ICIR |
| Basis momentum | 1d | 0.019 | 2.52 | 55 | 0.090 | 0.018 | 2.46 | 54 | 0.089 | 0.012 | 1.50 | 56 | 0.057 |
| Basis momentum | 1w | 0.023 | 3.30 | 54 | 0.118 | 0.022 | 2.99 | 54 | 0.111 | 0.014 | 1.67 | 55 | 0.067 |
| Basis momentum | 1m | 0.041 | 3.33 | 58 | 0.207 | 0.031 | 2.35 | 56 | 0.151 | 0.029 | 1.82 | 55 | 0.129 |
| Carry | 1d | 0.037 | 4.89 | 57 | 0.171 | 0.035 | 4.52 | 56 | 0.159 | 0.020 | 2.71 | 55 | 0.098 |
| Carry | 1w | 0.039 | 4.82 | 57 | 0.170 | 0.040 | 4.85 | 57 | 0.174 | 0.013 | 1.71 | 54 | 0.064 |
| Carry | 1m | 0.056 | 4.21 | 59 | 0.244 | 0.046 | 3.38 | 57 | 0.200 | 0.036 | 2.76 | 56 | 0.173 |
| Basis momentum (UBS) | 1d | 0.020 | 2.69 | 55 | 0.098 | 0.024 | 3.07 | 54 | 0.113 | -0.002 | -0.24 | 50 | -0.009 |
| Basis momentum (UBS) | 1w | 0.026 | 3.16 | 54 | 0.119 | 0.034 | 4.02 | 54 | 0.153 | -0.003 | -0.40 | 50 | -0.016 |
| Basis momentum (UBS) | 1m | 0.045 | 3.56 | 57 | 0.213 | 0.043 | 3.28 | 57 | 0.204 | -0.000 | -0.03 | 49 | -0.002 |
| NS beta0 (long end) | 1d | 0.014 | 1.69 | 53 | 0.060 | 0.014 | 1.61 | 52 | 0.056 | -0.005 | -0.58 | 49 | -0.021 |
| NS beta0 (long end) | 1w | 0.009 | 1.11 | 52 | 0.039 | 0.009 | 1.15 | 51 | 0.041 | -0.004 | -0.48 | 48 | -0.018 |
| NS beta0 (long end) | 1m | 0.001 | 0.12 | 49 | 0.007 | 0.007 | 0.57 | 50 | 0.032 | -0.009 | -0.64 | 49 | -0.039 |
| NS beta1 (slope) | 1d | -0.012 | -1.45 | 48 | -0.051 | -0.012 | -1.53 | 48 | -0.052 | 0.008 | 0.95 | 51 | 0.035 |
| NS beta1 (slope) | 1w | -0.011 | -1.39 | 48 | -0.049 | -0.013 | -1.68 | 48 | -0.060 | 0.009 | 1.10 | 53 | 0.041 |
| NS beta1 (slope) | 1m | -0.011 | -0.91 | 50 | -0.050 | -0.018 | -1.47 | 48 | -0.081 | 0.016 | 1.27 | 53 | 0.075 |
| NS beta2 (curvature) | 1d | -0.024 | -3.07 | 45 | -0.107 | -0.022 | -2.79 | 45 | -0.095 | -0.005 | -0.73 | 49 | -0.026 |
| NS beta2 (curvature) | 1w | -0.020 | -2.56 | 49 | -0.091 | -0.020 | -2.49 | 48 | -0.090 | -0.006 | -0.76 | 49 | -0.028 |
| NS beta2 (curvature) | 1m | -0.016 | -1.35 | 46 | -0.072 | -0.017 | -1.46 | 47 | -0.077 | -0.008 | -0.66 | 48 | -0.038 |
| NFCP chi (short-term) | 1d | -0.009 | -1.47 | 47 | -0.051 | -0.015 | -2.29 | 47 | -0.080 | 0.016 | 2.43 | 51 | 0.083 |
| NFCP chi (short-term) | 1w | -0.010 | -1.51 | 48 | -0.054 | -0.018 | -2.65 | 46 | -0.096 | 0.026 | 3.57 | 56 | 0.130 |
| NFCP chi (short-term) | 1m | -0.020 | -1.71 | 47 | -0.105 | -0.039 | -3.34 | 43 | -0.206 | 0.046 | 3.92 | 59 | 0.244 |
| NFCP xi (long-term) | 1d | 0.026 | 3.45 | 55 | 0.122 | 0.033 | 4.52 | 56 | 0.159 | -0.015 | -2.02 | 46 | -0.070 |
| NFCP xi (long-term) | 1w | 0.010 | 1.23 | 51 | 0.043 | 0.029 | 3.79 | 54 | 0.136 | -0.059 | -7.72 | 41 | -0.272 |
| NFCP xi (long-term) | 1m | 0.014 | 1.10 | 52 | 0.065 | 0.053 | 4.18 | 60 | 0.251 | -0.098 | -7.46 | 33 | -0.469 |
| Spread F1F2 | 1d | 0.040 | 5.30 | 58 | 0.184 | 0.035 | 4.54 | 55 | 0.159 | 0.022 | 3.09 | 54 | 0.111 |
| Spread F1F2 | 1w | 0.037 | 4.68 | 56 | 0.166 | 0.035 | 4.30 | 56 | 0.154 | 0.013 | 1.73 | 53 | 0.065 |
| Spread F1F2 | 1m | 0.049 | 3.67 | 58 | 0.216 | 0.040 | 2.94 | 57 | 0.176 | 0.034 | 2.60 | 56 | 0.163 |
| Spread F1F3 | 1d | 0.034 | 4.26 | 55 | 0.150 | 0.027 | 3.28 | 54 | 0.117 | 0.025 | 3.41 | 56 | 0.122 |
| Spread F1F3 | 1w | 0.038 | 4.43 | 57 | 0.159 | 0.036 | 4.19 | 57 | 0.149 | 0.013 | 1.67 | 53 | 0.062 |
| Spread F1F3 | 1m | 0.047 | 3.38 | 57 | 0.201 | 0.035 | 2.46 | 55 | 0.148 | 0.034 | 2.56 | 57 | 0.163 |
| F1 Panama return (1w) | 1d | 0.030 | 3.24 | 58 | 0.112 | 0.024 | 2.70 | 54 | 0.093 | 0.024 | 2.93 | 55 | 0.103 |
| F1 Panama return (1w) | 1w | 0.015 | 1.71 | 53 | 0.059 | 0.032 | 3.70 | 55 | 0.127 | -0.050 | -6.38 | 41 | -0.228 |
| F1 Panama return (1w) | 1m | -0.008 | -0.96 | 50 | -0.033 | 0.004 | 0.45 | 51 | 0.015 | -0.034 | -4.22 | 43 | -0.157 |