I'm back and will occasionally be posting after three years absence.
To start, lets see how things are going since my last post. Here are the 15 established, liquid, fair and well-formed commodity futures contracts that compose the investable VistaCTA commodity basket:
The weakest performer, no surprise, is WTI Crude Oil, down 87%. The strongest performer, big surprise, is frozen concentrated orange juice. OJ is up, yes, but on very bad news of major Florida crop destruction due to disease. The average commodity is down 24% for the period. The indexes are a little worse.
Here is the chart for the VistaCTA basket (VBX), the Bloomberg UBS Commodity Index (BCOM) and the S&P GSCI Commodity Index (GSCI) (all excess return indexes) for the same period:
Terminal values and total losses for VBX, BCOM and GSCI are $707 -35%, $641 -44% and $434 -84%, respectively. These have been dark years for commodity indexes. Let’s check out the why and wherefors next time.