Backwardation Index - creative services new york
Backwardation Index - creative services new york
Backwardation Index - creative services new york
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
Investment Methodik<br />
WIENER ROHSTOFF-KONFERENZ<br />
• Pure Beta versuchtet jenen Punkt entlang einer Terminkurve zu bestimmen<br />
welcher den fundamentalen Preis am besten repräsentiert<br />
Schritt 1: Berechnen des Front Year Average Price<br />
Contract 1<br />
Contract 2<br />
Contract 3<br />
Contract 4<br />
Contract 5<br />
Contract 6<br />
Contract 7<br />
Contract 8<br />
Contract 9<br />
Contract 10<br />
Contract 11<br />
Contract 12<br />
Front Year<br />
Average*<br />
__________________________<br />
*Illustratives Beispiel<br />
Open Interest*<br />
348,022<br />
102,819<br />
90,525<br />
28,414<br />
24,735<br />
107,030<br />
27,728<br />
13,753<br />
26,196<br />
15,506<br />
15,823<br />
123,804<br />
Gewicht<br />
37.7%<br />
11.1%<br />
9.8%<br />
3.1%<br />
2.7%<br />
11.6%<br />
3.0%<br />
1.5%<br />
2.8%<br />
1.7%<br />
1.7%<br />
13.4%<br />
Preis<br />
77.28<br />
78.66<br />
79.84<br />
80.74<br />
81.52<br />
82.24<br />
82.85<br />
83.36<br />
83.86<br />
84.37<br />
84.91<br />
85.46<br />
80.27<br />
Tracking Error to FYA<br />
8%<br />
7%<br />
6%<br />
5%<br />
4%<br />
3%<br />
2%<br />
1%<br />
0%<br />
Schritt 2: Berechnen Tracking Error zum FYAP<br />
Tracking Error to FYAP*<br />
1 2 3 4 5 6 7 8 9 10 11 12<br />
Tenor <strong>Index</strong>
Change language