Portfolio analysis results
| Portfolios | Weights | Hedge ratios |
|---|---|---|
| AGRICULTURE/BTM | 0.98 | 0.01 |
| AGRICULTURE/ENERGY | 0.84 | 0.15 |
| AGRICULTURE/LIVESTOCK | 0.46 | 0.15 |
| AGRICULTURE/METAL | 0.37 | 0.33 |
| AGRICULTURE/MKR | 0.98 | 0.02 |
| AGRICULTURE/POLY | 0.99 | 0.01 |
| AGRICULTURE/PRO | 0.99 | 0 |
| AGRICULTURE/SNX | 0.99 | 0.01 |
| AGRICULTURE/SOFTS | 0.52 | 0.54 |
| BTM/AGRICULTURE | 0.02 | 0.42 |
| BTM/ENERGY | 0.11 | 0.12 |
| BTM/LIVESTOCK | 0.01 | 0.63 |
| BTM/METAL | 0.01 | 1.14 |
| BTM/MKR | 0.44 | 0.56 |
| BTM/POLY | 0.68 | 0.38 |
| BTM/PRO | 0.76 | 0.21 |
| BTM/SNX | 0.73 | 0.29 |
| BTM/SOFTS | 0.02 | 0.51 |
| ENERGY/AGRICULTURE | 0.16 | 0.62 |
| ENERGY/BTM | 0.89 | 0.01 |
| ENERGY/LIVESTOCK | 0.17 | 0.24 |
| ENERGY/METAL | 0.07 | 0.9 |
| ENERGY/MKR | 0.89 | 0.03 |
| ENERGY/POLY | 0.94 | 0.02 |
| ENERGY/PRO | 0.96 | 0.01 |
| ENERGY/SNX | 0.95 | 0.02 |
| ENERGY/SOFTS | 0.13 | 0.69 |
| LIVESTOCK/AGRICULTURE | 0.54 | 0.14 |
| LIVESTOCK/BTM | 0.99 | 0.01 |
| LIVESTOCK/ENERGY | 0.83 | 0.05 |
| LIVESTOCK/METAL | 0.44 | 0.09 |
| LIVESTOCK/MKR | 0.98 | 0.01 |
| LIVESTOCK/POLY | 0.99 | 0.01 |
| LIVESTOCK/PRO | 0.99 | 0 |
| LIVESTOCK/SNX | 0.99 | 0 |
| LIVESTOCK/SOFTS | 0.56 | 0.13 |
| METAL/AGRICULTURE | 0.63 | 0.22 |
| METAL/BTM | 0.99 | 0.02 |
| METAL/ENERGY | 0.93 | 0.15 |
| METAL/LIVESTOCK | 0.56 | 0.07 |
| METAL/MKR | 0.99 | 0.02 |
| METAL/POLY | 0.99 | 0.01 |
| METAL/PRO | 0.99 | 0.01 |
| METAL/SNX | 0.99 | 0.01 |
| METAL/SOFTS | 0.66 | 0.27 |
| MKR/AGRICULTURE | 0.02 | 0.62 |
| MKR/BTM | 0.56 | 0.49 |
| MKR/ENERGY | 0.11 | 0.24 |
| MKR/LIVESTOCK | 0.02 | 0.37 |
| MKR/METAL | 0.01 | 1.05 |
| MKR/POLY | 0.73 | 0.36 |
| MKR/PRO | 0.8 | 0.2 |
| MKR/SNX | 0.82 | 0.36 |
| MKR/SOFTS | 0.02 | 0.58 |
| POLY/AGRICULTURE | 0.01 | 0.5 |
| POLY/BTM | 0.32 | 0.59 |
| POLY/ENERGY | 0.06 | 0.3 |
| POLY/LIVESTOCK | 0.01 | 0.66 |
| POLY/METAL | 0.01 | 1.23 |
| POLY/MKR | 0.27 | 0.63 |
| POLY/PRO | 0.64 | 0.24 |
| POLY/SNX | 0.58 | 0.38 |
| POLY/SOFTS | 0.01 | 0.81 |
| PRO/AGRICULTURE | 0.01 | 0.19 |
| PRO/BTM | 0.24 | 0.55 |
| PRO/ENERGY | 0.04 | 0.28 |
| PRO/LIVESTOCK | 0.01 | 0.16 |
| PRO/METAL | 0.01 | 0.96 |
| PRO/MKR | 0.2 | 0.6 |
| PRO/POLY | 0.36 | 0.4 |
| PRO/SNX | 0.44 | 0.36 |
| PRO/SOFTS | 0.01 | 0.51 |
| SNX/AGRICULTURE | 0.01 | 0.75 |
| SNX/BTM | 0.27 | 0.57 |
| SNX/ENERGY | 0.05 | 0.31 |
| SNX/LIVESTOCK | 0.01 | 0.11 |
| SNX/METAL | 0.01 | 1.23 |
| SNX/MKR | 0.18 | 0.8 |
| SNX/POLY | 0.42 | 0.47 |
| SNX/PRO | 0.56 | 0.27 |
| SNX/SOFTS | 0.01 | 0.83 |
| SOFTS/AGRICULTURE | 0.48 | 0.56 |
| SOFTS/BTM | 0.98 | 0.01 |
| SOFTS/ENERGY | 0.87 | 0.18 |
| SOFTS/LIVESTOCK | 0.44 | 0.16 |
| SOFTS/METAL | 0.34 | 0.43 |
| SOFTS/MKR | 0.98 | 0.02 |
| SOFTS/POLY | 0.99 | 0.01 |
| SOFTS/PRO | 0.99 | 0.01 |
| SOFTS/SNX | 0.99 | 0.01 |
| Portfolios | Weights | Hedge ratios |
|---|---|---|
| AGRICULTURE/BTM | 0.98 | 0.01 |
| AGRICULTURE/ENERGY | 0.84 | 0.15 |
| AGRICULTURE/LIVESTOCK | 0.46 | 0.15 |
| AGRICULTURE/METAL | 0.37 | 0.33 |
| AGRICULTURE/MKR | 0.98 | 0.02 |
| AGRICULTURE/POLY | 0.99 | 0.01 |
| AGRICULTURE/PRO | 0.99 | 0 |
| AGRICULTURE/SNX | 0.99 | 0.01 |
| AGRICULTURE/SOFTS | 0.52 | 0.54 |
| BTM/AGRICULTURE | 0.02 | 0.42 |
| BTM/ENERGY | 0.11 | 0.12 |
| BTM/LIVESTOCK | 0.01 | 0.63 |
| BTM/METAL | 0.01 | 1.14 |
| BTM/MKR | 0.44 | 0.56 |
| BTM/POLY | 0.68 | 0.38 |
| BTM/PRO | 0.76 | 0.21 |
| BTM/SNX | 0.73 | 0.29 |
| BTM/SOFTS | 0.02 | 0.51 |
| ENERGY/AGRICULTURE | 0.16 | 0.62 |
| ENERGY/BTM | 0.89 | 0.01 |
| ENERGY/LIVESTOCK | 0.17 | 0.24 |
| ENERGY/METAL | 0.07 | 0.9 |
| ENERGY/MKR | 0.89 | 0.03 |
| ENERGY/POLY | 0.94 | 0.02 |
| ENERGY/PRO | 0.96 | 0.01 |
| ENERGY/SNX | 0.95 | 0.02 |
| ENERGY/SOFTS | 0.13 | 0.69 |
| LIVESTOCK/AGRICULTURE | 0.54 | 0.14 |
| LIVESTOCK/BTM | 0.99 | 0.01 |
| LIVESTOCK/ENERGY | 0.83 | 0.05 |
| LIVESTOCK/METAL | 0.44 | 0.09 |
| LIVESTOCK/MKR | 0.98 | 0.01 |
| LIVESTOCK/POLY | 0.99 | 0.01 |
| LIVESTOCK/PRO | 0.99 | 0 |
| LIVESTOCK/SNX | 0.99 | 0 |
| LIVESTOCK/SOFTS | 0.56 | 0.13 |
| METAL/AGRICULTURE | 0.63 | 0.22 |
| METAL/BTM | 0.99 | 0.02 |
| METAL/ENERGY | 0.93 | 0.15 |
| METAL/LIVESTOCK | 0.56 | 0.07 |
| METAL/MKR | 0.99 | 0.02 |
| METAL/POLY | 0.99 | 0.01 |
| METAL/PRO | 0.99 | 0.01 |
| METAL/SNX | 0.99 | 0.01 |
| METAL/SOFTS | 0.66 | 0.27 |
| MKR/AGRICULTURE | 0.02 | 0.62 |
| MKR/BTM | 0.56 | 0.49 |
| MKR/ENERGY | 0.11 | 0.24 |
| MKR/LIVESTOCK | 0.02 | 0.37 |
| MKR/METAL | 0.01 | 1.05 |
| MKR/POLY | 0.73 | 0.36 |
| MKR/PRO | 0.8 | 0.2 |
| MKR/SNX | 0.82 | 0.36 |
| MKR/SOFTS | 0.02 | 0.58 |
| POLY/AGRICULTURE | 0.01 | 0.5 |
| POLY/BTM | 0.32 | 0.59 |
| POLY/ENERGY | 0.06 | 0.3 |
| POLY/LIVESTOCK | 0.01 | 0.66 |
| POLY/METAL | 0.01 | 1.23 |
| POLY/MKR | 0.27 | 0.63 |
| POLY/PRO | 0.64 | 0.24 |
| POLY/SNX | 0.58 | 0.38 |
| POLY/SOFTS | 0.01 | 0.81 |
| PRO/AGRICULTURE | 0.01 | 0.19 |
| PRO/BTM | 0.24 | 0.55 |
| PRO/ENERGY | 0.04 | 0.28 |
| PRO/LIVESTOCK | 0.01 | 0.16 |
| PRO/METAL | 0.01 | 0.96 |
| PRO/MKR | 0.2 | 0.6 |
| PRO/POLY | 0.36 | 0.4 |
| PRO/SNX | 0.44 | 0.36 |
| PRO/SOFTS | 0.01 | 0.51 |
| SNX/AGRICULTURE | 0.01 | 0.75 |
| SNX/BTM | 0.27 | 0.57 |
| SNX/ENERGY | 0.05 | 0.31 |
| SNX/LIVESTOCK | 0.01 | 0.11 |
| SNX/METAL | 0.01 | 1.23 |
| SNX/MKR | 0.18 | 0.8 |
| SNX/POLY | 0.42 | 0.47 |
| SNX/PRO | 0.56 | 0.27 |
| SNX/SOFTS | 0.01 | 0.83 |
| SOFTS/AGRICULTURE | 0.48 | 0.56 |
| SOFTS/BTM | 0.98 | 0.01 |
| SOFTS/ENERGY | 0.87 | 0.18 |
| SOFTS/LIVESTOCK | 0.44 | 0.16 |
| SOFTS/METAL | 0.34 | 0.43 |
| SOFTS/MKR | 0.98 | 0.02 |
| SOFTS/POLY | 0.99 | 0.01 |
| SOFTS/PRO | 0.99 | 0.01 |
| SOFTS/SNX | 0.99 | 0.01 |
Note(s): Results are based on the estimation of Kroner and Ng (2015) and Kroner and Sultan (1993) methodology
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