Methods and systems for tracking commodity performance
In at least one aspect, the invention comprises a computer-implemented method comprising: (a) electronically receiving data regarding projections of commodity consumption for exchange-traded futures contracts on one or more biofuel feedstock commodities; (b) selecting, based on said received data, one or more of said futures contracts for inclusion in a biofuel excess return strategy index; and (c) electronically weighting each of said selected one or more futures contracts; wherein said weighting is based on projected relative consumption of each commodity corresponding to said selected futures contracts. In another aspect, the invention comprises a computer-implemented method comprising: (a) electronically receiving data regarding prices of one or more exchange-traded futures contracts; (b) selecting, based on said received data, one or more of said futures contracts for inclusion in a commodity index; and (c) electronically calculating excess return for each of said commodities by accounting for foreign exchange rates.
1 . A computer-implemented method comprising:
electronically receiving data regarding projections of commodity consumption for exchange-traded futures contracts on one or more biofuel feedstock commodities;
selecting, based on said received data, one or more of said futures contracts for inclusion in a biofuel excess return strategy index; and
electronically weighting each of said selected one or more futures contracts;
wherein said weighting is based on projected relative consumption of each commodity corresponding to said selected futures contracts.
2 . A method as in claim 1 , wherein said projected relative consumption is based on one or more projections for consumption of each commodity over a future period of time.
3 . A method as in claim 2 , wherein at least one of said projections is made by a non-trading desk entity.
4 . A method as in claim 1 , wherein no commodity is weighted more than a specified maximum weight.
5 . A method as in claim 1 , wherein no commodity is weighted less than a specified minimum weight.
6 . A method as in claim 1 , wherein said biofuel is biodiesel.
7 . A computer-implemented method comprising:
electronically receiving data regarding prices of one or more exchange-traded futures contracts;
selecting, based on said received data, one or more of said futures contracts for inclusion in a commodity index; and
electronically calculating excess return for each of said commodities by accounting for foreign exchange rates.
8 . A method as in claim 7 , wherein excess return of a commodity comprises daily price appreciation of associated futures contracts of said commodity plus roll yield.
9 . A method as in claim 7 , wherein daily excess return of a commodity is calculated based on a first product comprising a commodity futures contract price for a first day multiplied by a difference between a spot currency exchange rate for said first day and a spot next currency swap rate for a day immediately preceding said first day.
10 . A method as in claim 9 , wherein daily excess return of a commodity is calculated further based on dividing said first product by a second product comprising a commodity futures contract price for said day immediately preceding said first day multiplied by a spot currency exchange rate for said day immediately preceding said first day.
11 . A method as in claim 7 , wherein daily excess return is based on a product of a commodity futures contract price and a foreign exchange rate, and wherein said foreign exchange rate is corrected for overnight drift.
12 . A method as in claim 7 , wherein foreign exchange spot rates are used in calculation of excess return, and said calculation is adjusted to take into account an overnight funding differential between two currencies.
13 . A method as in claim 12 , wherein said differential is calculated on a weekly basis.
14 . A method as in claim 12 , further comprising receiving one or more valuations for spot week forward transactions and calculating a daily differential for a subsequent week.
15 . A computer system comprising:
a database component configured to electronically receive and store data regarding projections of commodity consumption for exchange-traded futures contracts on one or more biofuel feedstock commodities;
a selection component configured to select, based on said received and stored data, one or more of said futures contracts for inclusion in a biofuel excess return strategy index; and
a weighting component configured to electronically weight each of said selected one or more futures contracts;
wherein said weight is based on projected relative consumption of each commodity corresponding to said selected futures contracts.
16 . A computer system as in claim 15 , wherein said projected relative consumption is based on one or more projections for consumption of each commodity over a future period of time.
17 . A computer system as in claim 16 , wherein at least one of said projections is made by a non-trading desk entity.
18 . A computer system as in claim 15 , wherein no commodity is weighted more than a specified maximum weight.
19 . A computer system as in claim 15 , wherein no commodity is weighted less than a specified minimum weight.
20 . A computer system as in claim 15 , wherein said biofuel is biodiesel.
21 . A computer system comprising:
a database component configured to electronically receive and store data regarding prices of one or more exchange-traded futures contracts;
a selection component configured to select, based on said received and stored data, one or more of said futures contracts for inclusion in a commodity index; and
a calculation component configured to electronically calculate excess return for each of said commodities by accounting for foreign exchange rates.
22 . A computer system as in claim 21 , wherein excess return of a commodity comprises daily price appreciation of associated futures contracts of said commodity plus roll yield.
23 . A computer system as in claim 21 , wherein daily excess return of a commodity is calculated based on a first product comprising a commodity futures contract price for a first day multiplied by a difference between a spot currency exchange rate for said first day and a spot next currency swap rate for a day immediately preceding said first day.
24 . A computer system as in claim 23 , wherein daily excess return of a commodity is calculated further based on dividing said first product by a second product comprising a commodity futures contract price for said day immediately preceding said first day multiplied by a spot currency exchange rate for said day immediately preceding said first day.
25 . A computer system as in claim 21 , wherein daily excess return is based on a product of a commodity futures contract price and a foreign exchange rate, and wherein said foreign exchange rate is corrected for overnight drift.
26 . A computer system as in claim 21 , wherein foreign exchange spot rates are used in calculation of excess return, and said calculation is adjusted to take into account an overnight funding differential between two currencies.
27 . A computer system as in claim 26 , wherein said differential is calculated on a weekly basis.
28 . A computer system as in claim 26 , further comprising a valuation component configured to receive one or more valuations for spot week forward transactions and calculating a daily differential for a subsequent week.
29 . Software stored in a computer readable medium, said software comprising:
software for electronically receiving data regarding projections of commodity consumption for exchange-traded futures contracts on one or more biofuel feedstock commodities;
software for selecting, based on said received data, one or more of said futures contracts for inclusion in a biofuel excess return strategy index; and
software for electronically weighting each of said selected one or more futures contracts;
wherein said weighting is based on projected relative consumption of each commodity corresponding to said selected futures contracts.
30 . Software as in claim 29 , wherein said projected relative consumption is based on one or more projections for consumption of each commodity over a future period of time.
31 . Software as in claim 30 , wherein at least one of said projections is made by a non-trading desk entity.
32 . Software as in claim 29 , wherein no commodity is weighted more than a specified maximum weight.
33 . Software as in claim 29 , wherein no commodity is weighted less than a specified minimum weight.
34 . Software as in claim 29 , wherein said biofuel is biodiesel.
35 . Software stored in a computer readable medium, said software comprising:
software for electronically receiving data regarding prices of one or more exchange-traded futures contracts;
software for selecting, based on said received data, one or more of said futures contracts for inclusion in a commodity index; and
software for electronically calculating excess return for each of said commodities by accounting for foreign exchange rates.
36 . Software as in claim 35 , wherein excess return of a commodity comprises daily price appreciation of associated futures contracts of said commodity plus roll yield.
37 . Software as in claim 35 , wherein daily excess return of a commodity is calculated based on a first product comprising a commodity futures contract price for a first day multiplied by a difference between a spot currency exchange rate for said first day and a spot next currency swap rate for a day immediately preceding said first day.
38 . Software as in claim 37 , wherein daily excess return of a commodity is calculated further based on dividing said first product by a second product comprising a commodity futures contract price for said day immediately preceding said first day multiplied by a spot currency exchange rate for said day immediately preceding said first day.
39 . Software as in claim 35 , wherein daily excess return is based on a product of a commodity futures contract price and a foreign exchange rate, and wherein said foreign exchange rate is corrected for overnight drift.
40 . Software as in claim 35 , wherein foreign exchange spot rates are used in calculation of excess return, and said calculation is adjusted to take into account an overnight funding differential between two currencies.
41 . Software as in claim 40 , wherein said differential is calculated on a weekly basis.
42 . Software as in claim 40 , further comprising software for receiving one or more valuations for spot week forward transactions and calculating a daily differential for a subsequent week.