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Have your cake and eat it with The contrarian model

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ETF Securities Asset Allocation Research - Have your cake and eat it with the contrarian model Taking a contrarian view to a traditional

ETF Securities Asset Allocation Research – Have your cake and eat it with the contrarian model

  • Taking a contrarian view to a traditional reading of key indicators of commodity prices boosts the return of traditional portfolios of commodities.
  • Adding a short exposure to the contrarian model allows for drastically lower level of risk, enhancing the Sharpe ratio to 0.8 over a period of 16 years.
  • According to our analysis, implementation costs are likely to have minimal impact on the overall portfolio performance over the long and short run.

The contrarian model

In our January paper, How to make the best of commodities: the contrarian model, we discussed the concept of a contrarian strategy being applied to indicators that we view as having the largest impact on commodity prices: momentum, inventories, positioning and roll yield.

A traditional reading of these indicators suggests that if price is above its 200-day moving average, inventories are declining, net positioning is increasing or the futures curve (at the short end) is in backwardation, then this should be price positive.

In contrast, the contrarian model is an asset allocation strategy based on the opposite reading of these four indicators. We have derived five unique portfolios out of the contrarian model: one based on each of the above indicators and a fifth one combining all the indicators called the ETFS contrarian model. In this note, we focus on the results of the combined portfolio.

The long only ETFS contrarian model buys a commodity when all four indicators turn price negative and will hold the commodity until all four indicators become price positive. The model will then sell the commodity or take a short exposure to that commodity in the long short version of the model.

The commodity universe is similar to the constituents of the Bloomberg Commodity Index. Each portfolio rebalances to an equal weighting on a quarterly basis and is composed of individual commodity indices using the Bloomberg Commodity Index family as proxy.

A boost with the long only contrarians

In our January paper, our analysis shows that the ETFS contrarian model and inventories are the best performers, posting an annual return of 10.8% on average since 2000. Positioning and roll yield come next with 7.9% per year while momentum underperforms the other model variants with a return of 4% per year.

ETFS1

(Click to enlarge)

*Long only 3 month forward is the long only version of the ETFS contrarian model composed of Bloomberg commodity single indices 3 month forward. Source: ETF Securities, Bloomberg

The ETFS contrarian model outperformed the benchmark, the Bloomberg Commodity Index 3 month forward. The annual return of the model is double the return of the benchmark index over the past 16 years for similar level of volatility, bettering its Sharpe ratio of 0.24 by more than double (0.60).

A cushion with the long short contrarians

So far we looked at the long only version of the ETFS contrarian model where commodities with indicators having a positive impact on prices are simply removed from the portfolio during the rebalancing period. Shorting these commodities actually reduces the annual return of the ETFS contrarian model from 10.8% to 8.3% over the past 16 years.

Although the annual return is lower as shown in the chart below, the volatility of the long short version is also drastically lower than the volatility of the long only version. Adding a short exposure to the model clearly minimises the impact of events such as the financial crisis in 2008 or the slump in commodity prices since 2011.

ETFS2

(Click to enlarge)

As a result, the Sharpe ratio increases from 0.24 for the commodity benchmark, to 0.60 for the ETFS long only contrarian model due to higher return, and to 0.78 for the ETFS long short contrarian model thanks to higher return and much lower volatility.

ETFS3

(Click to enlarge)

*Long only and long short front month are the long only and long short versions of the ETFS contrarian model exposed to Bloomberg commodity single indices. Source: ETF Securities, Bloomberg

Moving along the futures curves

The total return of an investment into commodities depends on its exposure along the futures curve. The dotted lines in the below chart are portfolios exposed to contracts at the short end of the curve while plain lines are portfolios exposed to the 3 month forward futures contracts, our main focus in this note so far.

ETFS4

(Click to enlarge)

Source: ETF Securities, Bloomberg

While an exposure to front month futures contracts is detrimental to the return of the ETFS long only contrarian model, it actually improves the return of the long short portfolio over the long run.

Efficient also during commodities rout

In this section, we have tested our model over a shorter period, from 2011 to 2016 when commodities were performing poorly and observed similar results: a strong improvement of the Sharpe ratio when implementing the long short version of the ETFS contrarian model.

During these years, the commodity indices were posting an annual return of -11% on average. With the ETFS long only contrarian model, investors were able to reduce the negative return to around -7% and completely erase their loss with the ETFS long short contrarian model. In addition to stronger risk/return ratio, the ETFS long short contrarian model also provides more efficient protection against market downturns.

ETFS5

(Click to enlarge)

*Based on the ETFS contrarian model only. Source: ETF Securities, Bloomberg

The above chart shows that fees are likely to have minimal impact on the contrarian portfolio performance. Portfolios composed of commodity ETPs (exchange traded products), on the right hand side, are priced based on the ETP net asset value (NAV) where management fee, swap fee and licence fee are embedded. We can see that the return of the long short contrarian model is down 70bps compared to the portfolio exposed to the front month commodity indices while there is no visible impact on the long only contrarian model. Execution fees applied to portfolios using ETPs also have negligible impact on performance. This is due to the model rebalancing on a quarterly basis and therefore involving a small number of transactions per year.

To sum up, the contrarian model drastically improves the risk/return profile of a portfolio of commodities over the long and short term. The long only contrarian models tend to outperform long short contrarian models in the long run. However, the benefit of the long short contrarian models is much higher thanks to drastically lower volatility. Between 2011 and 2016, the long short contrarian models also provide an effective protection against commodities rout with implementation costs likely to have minimal impact on the model performance.

For more information contact

ETF Securities Research team
ETF Securities (UK) Limited
T +44 (0) 207 448 4336
E info@etfsecurities.com

Important Information

General

This communication has been provided by ETF Securities (UK) Limited (”ETFS UK”) which is authorised and regulated by the United Kingdom Financial Conduct Authority.

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Michael Saylor’s bold Bitcoin bet and Strategy’s risk analysis

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Michael Saylor’s bold Bitcoin bet and Strategy’s risk analysis Bitcoin price technical analysis: Where are the liquidation levels?
  • Michael Saylor’s bold Bitcoin bet and Strategy’s risk analysis
  • Bitcoin price technical analysis: Where are the liquidation levels?
  • What are real-world assets and why do we need tokenization?

Michael Saylor’s bold Bitcoin bet and Strategy’s risk analysis

Strategy (formerly MicroStrategy) has amassed a staggering $43 billion in Bitcoin, positioning itself at the forefront of the corporate “reserve race.” Under the leadership of Bitcoin maximalist Michael Saylor, the company now boasts an $84 billion market cap. But with such an aggressive strategy, how sustainable is its approach—and what risks lie ahead? We break it down in today’s analysis.

Bitcoin price technical analysis: Where are the liquidation levels?

A drop below $72,000 could flush longs, while a breakout above $90,000 may squeeze shorts. One key positive indicator is that Bitcoin continues to print higher lows since March 10, which preserves a bullish market structure in our view. Dive into our technical analysis.

What are real-world assets and why do we need tokenization?

Imagine owning a slice of a skyscraper or a piece of fine art with just a few clicks. Tokenization, the act of converting ownership rights to real-world assets (RWAs) into tradable tokens, has surpassed $10 billion in on-chain value, unlocking global 24/7 access to once-exclusive markets with liquidity, efficiency, and yield. Find out how it works.

Research Newsletter

Each week the 21Shares Research team will publish our data-driven insights into the crypto asset world through this newsletter. Please direct any comments, questions, and words of feedback to research@21shares.com

Disclaimer

The information provided does not constitute a prospectus or other offering material and does not contain or constitute an offer to sell or a solicitation of any offer to buy securities in any jurisdiction. Some of the information published herein may contain forward-looking statements. Readers are cautioned that any such forward-looking statements are not guarantees of future performance and involve risks and uncertainties and that actual results may differ materially from those in the forward-looking statements as a result of various factors. The information contained herein may not be considered as economic, legal, tax or other advice and users are cautioned to base investment decisions or other decisions solely on the content hereof.

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BSE0 ETF köper bara företagsobligationer med förfall 2030

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Invesco BulletShares 2030 EUR Corporate Bond UCITS ETF EUR Acc (BSE0 ETF) med ISIN IE000I25S1V5, försöker följa Bloomberg 2030 Maturity EUR Corporate Bond Screened-index. Bloomberg 2030 Maturity EUR Corporate Bond Screened Index följer företagsobligationer denominerade i EUR. Indexet speglar inte ett konstant löptidsintervall (som är fallet med de flesta andra obligationsindex). Istället ingår endast obligationer som förfaller under det angivna året (här: 2030) i indexet. Indexet består av ESG (environmental, social and governance) screenade företagsobligationer. Betyg: Investment Grade. Löptid: december 2030 (Denna ETF kommer att stängas efteråt).

Invesco BulletShares 2030 EUR Corporate Bond UCITS ETF EUR Acc (BSE0 ETF) med ISIN IE000I25S1V5, försöker följa Bloomberg 2030 Maturity EUR Corporate Bond Screened-index. Bloomberg 2030 Maturity EUR Corporate Bond Screened Index följer företagsobligationer denominerade i EUR. Indexet speglar inte ett konstant löptidsintervall (som är fallet med de flesta andra obligationsindex). Istället ingår endast obligationer som förfaller under det angivna året (här: 2030) i indexet. Indexet består av ESG (environmental, social and governance) screenade företagsobligationer. Betyg: Investment Grade. Löptid: december 2030 (Denna ETF kommer att stängas efteråt).

Den börshandlade fondens TER (total cost ratio) uppgår till 0,10 % p.a. Invesco BulletShares 2030 EUR Corporate Bond UCITS ETF EUR Acc är den billigaste och största ETF som följer Bloomberg 2030 Maturity EUR Corporate Bond Screened index. ETFen replikerar det underliggande indexets prestanda genom samplingsteknik (köper ett urval av de mest relevanta indexbeståndsdelarna). Ränteintäkterna (kupongerna) ackumuleras och återinvesteras.

Invesco BulletShares 2030 EUR Corporate Bond UCITS ETF EUR Acc är en mycket liten ETF med tillgångar på 6 miljoner euro under förvaltning. Denna ETF lanserades den 18 juni 2024 och har sin hemvist i Irland.

Produktbeskrivning

Invesco BulletShares 2030 EUR Corporate Bond UCITS ETF Acc syftar till att ge den totala avkastningen för Bloomberg 2030 Maturity EUR Corporate Bond Screened Index (”Referensindexet”), minus avgifternas inverkan. Fonden har en fast löptid och kommer att upphöra på Förfallodagen.

Referensindexet är utformat för att återspegla resultatet för EUR-denominerade, investeringsklassade, fast ränta, skattepliktiga skuldebrev emitterade av företagsemittenter. För att vara berättigade till inkludering måste företagsvärdepapper ha minst 300 miljoner euro i nominellt utestående belopp och en effektiv löptid på eller mellan 1 januari 2030 och 31 december 2030.

Värdepapper är uteslutna om emittenter: 1) är inblandade i kontroversiella vapen, handeldvapen, militära kontrakt, oljesand, termiskt kol eller tobak; 2) inte har en kontroversnivå enligt definitionen av Sustainalytics eller har en Sustainalytics-kontroversnivå högre än 4; 3) anses inte följa principerna i FN:s Global Compact; eller 4) kommer från tillväxtmarknader.

Portföljförvaltarna strävar efter att uppnå fondens mål genom att tillämpa en urvalsstrategi, som inkluderar användning av kvantitativ analys, för att välja en andel av värdepapperen från referensindexet som representerar hela indexets egenskaper, med hjälp av faktorer som index- vägd genomsnittlig varaktighet, industrisektorer, landvikter och kreditkvalitet. När en företagsobligation som innehas av fonden når förfallodag kommer kontanterna som fonden tar emot att användas för att investera i kortfristiga EUR-denominerade skulder.

ETFen förvaltas passivt.

En investering i denna fond är ett förvärv av andelar i en passivt förvaltad indexföljande fond snarare än i de underliggande tillgångarna som ägs av fonden.

Förfallodag: andra onsdagen i december 2026 eller sådant annat datum som bestäms av styrelseledamöterna och meddelas aktieägaren

Handla BSE0 ETF

Invesco BulletShares 2030 EUR Corporate Bond UCITS ETF EUR Acc (BSE0 ETF) är en europeisk börshandlad fond. Denna fond handlas på flera olika börser, till exempel Deutsche Boerse Xetra.

Det betyder att det går att handla andelar i denna ETF genom de flesta svenska banker och Internetmäklare, till exempel DEGIRONordnet, Aktieinvest och Avanza.

Börsnoteringar

BörsValutaKortnamn
XETRAEURBSE0

Största innehav

NamnCUSIPISINKupongräntaVikt %
Fresenius SE & Co KGaA 5.125% 05/10/30D2R9K1AL3XS26987136955.1252.55%
Mercedes-Benz Group AG 2.375% 22/05/30D1668RZW0DE000A289XG82.3752.19%
Akzo Nobel NV 1.625% 14/04/30N01803YV6XS21565982811.6252.08%
Eni SpA 0.625% 23/01/30T3666JJV9XS21073154700.6251.98%
Prologis International Funding II 2.375% 14/11/30L7763MAD2XS19046903412.3751.78%
REWE International Finance BV 4.875% 13/09/30N74119AA1XS26798981844.8751.65%
CaixaBank SA 4.25% 06/09/30E2R193R97XS26768144994.2501.64%
Verizon Communications Inc 4.25% 31/10/30XS25508811434.2501.64%
Liberty Mutual Group Inc 4.625% 02/12/30U52932BR7XS25616473684.6251.62%
AXA SA 3.75% 12/10/30F0609NBG2XS25372511703.7501.60%

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US regulatory shift provides a beacon for optimism

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Since President Trump appointed Mark Uyeda as acting SEC chair two months ago, many investigations into crypto businesses have been dropped, as the SEC moves away from regulation by enforcement and works to create a framework for digital assets. As regulations become clearer and news flow turns more positive, crypto prices—which dropped sharply this week—should begin to better reflect the new regulatory landscape in the US.

Since President Trump appointed Mark Uyeda as acting SEC chair two months ago, many investigations into crypto businesses have been dropped, as the SEC moves away from regulation by enforcement and works to create a framework for digital assets. As regulations become clearer and news flow turns more positive, crypto prices—which dropped sharply this week—should begin to better reflect the new regulatory landscape in the US.

We believe this regulatory shift could ultimately help trigger the next leg of the current bull run, as investors better understand the significance of regulatory clarity and seek to acquire bitcoin and altcoins at what we believe are currently very favorable levels.

Market Highlights

SEC Dismisses Crypto Enforcement Actions

The SEC dropped its enforcement actions against crypto-related companies Kraken, Consensys, and Cumberland DRW.

This indicates a shift in SEC’s regulatory approach, favoring clearer guidelines over enforcement actions. Such a pivot could foster a more predictable environment, encouraging innovation within the sector.

Banks to Engage in Crypto Activities

The FDIC has rescinded previous guidelines which prevented financial institutions from engaging with crypto activities without prior sign-off.

By removing bureaucratic hurdles, banks may more readily offer crypto-related services, potentially leading to broader adoption and integration of digital assets.

Bitcoin ETFs Inflow Streak Surpassed $1 Billion

US spot Bitcoin ETFs have recorded a 10-day inflow streak exceeding $1 billion marking the longest such streak in 2025.

This underscores growing institutional and retail investor confidence in Bitcoin as an asset class that helps increase market stability and possibly paving the way for the approval of other crypto-based financial products.

Market Metrics

All NCITM constituents had negative performance last week, with XRP (-10.8%) and UNI (-10.7%) seeing the steepest declines. ETH also experienced a sharp drop (-9.1%), contributing to NCITM’s underperformance relative to BTC (-2.9%). The NCITM -4.2% decline reflects a broader risk-off sentiment in the crypto market, as investors reassess their positions amid ongoing macroeconomic uncertainties.

NCITM (-4.2%) extended its underperformance last week, deepening year-to-date losses. Traditional indices like the S&P 500 (-1.5%) and Nasdaq 100 (-2.4%) saw smaller declines. The gap between crypto and other risk assets continues to widen, while gold has emerged as the top performer in 2025, gaining nearly 20% amid ongoing macroeconomic uncertainties. This trend highlights a growing risk-off sentiment, with investors shifting toward defensive assets and away from high-volatility investments.

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