[Baz15] J.Baz et al., Dissecting Investment Strategies in the Cross Section and Time Series (December 4, 2015). Available at SSRN: https://ssrn.com/abstract=2695101
Example: AiLA-S030 actual weight information.
Further details about the downstream index methodology is found in,
Example: actual weights from a five asset index.
Five asset index:
Varying number weights:
Example: Gold_CME_June decision to allocate long.
2022-04-13: Entry decision
|Close Price of Dec Gold 1 day prior to trade entry||Date of Trade entry||Close Price of Oct Gold 1 day prior to trade entry||Close Price of May Gold 15 days prior to trade entry||Open Price of Jan Gold 19 days prior to trade entry|
|Low Price of Oct Gold 2 days prior to trade entry||Low Price of Apr Gold 9 days prior to trade entry||High Price of Oct Gold 6 days prior to trade entry||Low Price of Aug Gold 1 day prior to trade entry||Low Price of Aug Gold 16 days prior to trade entry|
|US Weekly Domestic Crude Oil Production||US Weekly Crude Oil Imports||US Weekly Commercial Crude Oil Stock||Dow Jones Index||S&P 500 Index|
|10 Year Treasury Yield Index||Bloomberg Commodity Index||Baltic Dry Index||USD Currency Index||USD-JPY FX Spot|
|GBP-USD FX Spot||CME Copper Front Month||Gold Spot||CFTC CoT NCNC Soybean Oil - CBT||CFTC CoT NCNC #2 Heating Oil - NYMEX|
|CFTC CoT NCNC Natural Gas – NYMEX||CFTC CoT NCNC Soybean Meal - CBT||CFTC CoT NCNC Cotton No. 2 - ICE Futures U.S.||CFTC CoT NCNC Live Cattle - CME||CFTC CoT NCNC Feeder Cattle - CME|
|CFTC CoT NCNC Crude Oil - NYMEX||CFTC CoT NCNC Cocoa - ICE Futures U.S.||CFTC CoT NCNC Sugar No. 11 - ICE Futures U.S.||CFTC CoT NCNC Coffee C - ICE Futures U.S.||USD-BRL FX Spot|
|EUR-USD FX Spot||AUD-USD FX Spot||USD-CAD FX Spot|
(* CFTC CoT NCNC = CFTC Commitments of Traders, Non-Commercial Net Contracts)
2022-04-21: Exit decision