CRRY: Come DECORRELARE il Portafoglio con il COMMODITY CARRY

The video offers an in-depth analysis of the WisdomTree Enhanced Commodity Carry (CRRY) ETC, a financial instrument designed to generate returns from commodities without directly investing in them, exploiting the contango effect typical of futures markets. Through a synthetic leveraged strategy of 3x that shorts short-term contracts while simultaneously buying longer-term ones, the product aims to capture the so-called "commodity carry," the premium associated with storage costs, insurance, and interest rates that traditional investors tend to systematically lose when rolling financial contracts. Despite the recent severe drawdown induced by an anomalous backwardation situation linked to current global geopolitical tensions, historical data and long-term simulations highlight how this asset has zero correlation with the global stock market, making it a powerful diversification tool capable of improving the efficiency and Sharpe ratio of an investment portfolio. __________________________________________________________________ Source:    • Come costruire un Portafoglio 90/60 (e per...      • NTSG: ottimo ETF, ma quei CRITERI ESG... p...   Excel file: https://drive.google.com/file/d/1IY06... ________________________________________________________________ Reference Playlist: __________________________________________________________________ TIMESTAMP 0:00 Introduction to CRRY and the Architecture of the Leveraged Long/Short Strategy 3 0:42 Mechanics of Futures Contracts: Definition of Contango and Cost of Carry 3:56 Role of Interest Rates and Macroeconomic Dynamics on the Futures Curve 6:41 Backwardation Curve Inversion and its Impact on the Drawdown of CRRY 8:36 Cost analysis and modeling of the BNP Paribas index using Testfolio 11:59 Analysis of historical performance and 3- and 5-year rolling metrics 1:20 Correlation with global equities (VT) and Sharpe ratio optimization 15:52 Asymmetric correlation with commodities and market-neutrality properties 18:06 Swap counterparty risk and critical analysis of the benchmark backtest 21:42 Academic validation of the phenomenon and considerations on UCITS harmonized instruments __________________________________________________________________ 📩 Contact me by email to discuss independent financial advice and see how I can help you: [email protected]