Published
Documented in full
Factor definitions. The nesting hierarchy and universe. The estimation procedure. Both example specifications, with sufficient detail to reproduce them from your own data.
Methodology
Published and reproducible methodology.
The factor definitions, nesting and illustrative research specifications are documented and can be reproduced independently. Any allocation shown on this site is one research specification among many permitted by the methodology.
Research data
Analytical inputs
Factor exposures and historical factor returns can be supplied as analytical data. Recipients determine independently whether and how to incorporate these inputs into their own research and risk processes.
Delivery
Research-ready flat files.
Outputs are designed to enter an institution's existing research, backtesting and portfolio systems. The data remain inspectable rather than being confined to a user interface.
| Output | Purpose |
|---|---|
| Factor exposures | Observed, standardised loadings for each contract. |
| Factor returns | Historical returns estimated across the commodity universe. |
| Covariance estimates | The relationships required for portfolio-level risk calculations. |
| Specific returns | The portion of each contract return not explained by common factors. |
File scope, frequency, identifiers and schema are agreed for the intended evaluation or subscription.
Position
Nature of ARC's role.
ARC publishes general and impersonal research and supplies analytical data. ARC does not manage capital, select positions for recipients, exercise trading discretion or execute transactions. Recipients make their own independent decisions about whether and how to use the methodology.