The risk model

One model,
four levels of risk.

Sectors, Sub-sectors, Styles &Trading Factors, and idiosyncratic risk for each futures. Cross-sectional risk decomposition for over 40 commodities.

Model structure

The nested wheel Three sectors resolve into eleven labelled sub-sectors, ringed by seven cross-sectional styles and trading factors.
01Sectors3
02Sub-sectors11
03Styles & trading factors7
04Idiosyncratic, each future1,200+

Research applications

One model,
two research applications.

ARC studies historical return patterns in style factors and relationships between contracts with comparable modelled exposures. Both applications are estimated from the same factor model.

Illustrative research specifications are documented and can be reproduced from the published methodology. The findings are historical, sample-dependent and not forecasts or trading recommendations.

Research findings

One model, two research applications One factor model supports historical factor analysis and relative-value research at the pair level.

Two sources, one estimation

The first nesting commodity factor model in commercial production