@FinanzMechaNikk Individual commodities pose a significant risk to a monthly model. With cocoa in particular, there are no clear long-term trends and momentum shifts occur rapidly. This kind of thing is better suited to a trading strategy than a momentum strategy. 🤷
@Psychedelic_Sunflower The spread on 3xUSDEUR is stuck above 5%. I wanted to sell the first tranches today because the asset is being swapped. But I'd rather wait until the spread drops to the usual 0.5%.
@SchlaubiSchlumpf I’ll buy sometime this month. If it works out and the price is right, great. If it doesn’t, that’s okay, too. Compared to the backtests, we’ve had an above-average year so far. Maybe it’ll even even out a bit toward the average 😉
@SchlaubiSchlumpf I assume that the momentum effect also fluctuates in strength. If there is a mean for this effect, then there will always be a return to that mean.