Sample strategy #3 – Trading WTI/BRENT Spread

4.September 2011

   The WTI-Brent spread is the difference between the prices of two types of crude oil, West Texas Intermediate (WTI) on the long side and Brent Crude (Brent) on the short side. The two oils differ only in the ability of WTI to produce slightly more gasoline in the cracking ratio which causes WTI’s slight pricing margin over Brent. As both oils are very similar their spread shows signs of strong predictability and usually oscillates around some average value. Could we use a trading strategy and exploit this spread's reversion?

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Sample strategy #2 – Crude Oil Predicts Equity Returns

3.September 2011

   Crude oil is one of the most important commodities in the current global world. Simple logic says that oil prices should predict economy’s performance and therefore should also have some predictive ability for equity returns. Is the price of oil really such a useful predictor?

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Sample strategy #1 – Short Term Reversal with Futures

25.August 2011

   The short-term contrarian strategy of buying stocks which are past losers and selling stocks which are past winners is well documented in academic literature. But does this effect work within different markets and with different instruments? Is it possible to create less complicated short term reversal strategy with futures?

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