Futures Return Attribution Research

This report decomposes the formal futures-model return into three additive research components:

  1. Trend proxy return: formal position multiplied by an underlying continuous proxy return.
  2. Identified roll return: Bloomberg generic-first contract switch jump, isolated by comparing the generic series with the same new contract across the switch date.
  3. Basis and residual return: formal futures return minus trend proxy return minus identified roll return.

The third component is intentionally called basis and residual. It includes basis changes, proxy mismatch, data-source differences, any roll effect not captured by the Bloomberg chain, and the limitations of interim proxies. It must not be interpreted as a pure basis P&L.

Proxy quality differs by asset: IF and IC use cash equity indices; AU uses a gold ETF interim proxy; CU currently uses the SHFE copper continuous series; TF and T use CGB futures return indices. Therefore the equity attribution is economically cleaner than the commodity and bond attribution.

Bloomberg roll events identified since 2020-01-01: 368.

cursor-tuned-63d

cursor-tuned-63d return attribution

Portfolio contribution summary

component annualized_arithmetic_contribution terminal_nav
formal strategy 0.086038 1.749992
trend proxy 0.079296 1.669908
identified roll -0.013438 0.914722
basis and residual 0.020180 1.139781

Annualized arithmetic contribution by asset

asset formal_contribution_ann trend_contribution_ann identified_roll_contribution_ann basis_residual_contribution_ann proxy proxy_status
AU 0.021503 0.023075 0.002316 -0.003888 Gold ETF interim
CU 0.017274 0.018136 -0.000823 -0.000039 SHFE copper continuous interim
IC 0.013358 0.006775 -0.004785 0.011368 CSI500 index preferred
IF 0.008066 0.005144 -0.001703 0.004626 HS300 index preferred
T 0.013658 0.013682 -0.004497 0.004473 CGB futures return index 10Y preferred
TF 0.012179 0.012485 -0.003945 0.003640 CGB futures return index 5Y preferred

cursor-tuned-42d

cursor-tuned-42d return attribution

Portfolio contribution summary

component annualized_arithmetic_contribution terminal_nav
formal strategy 0.092742 1.829059
trend proxy 0.084754 1.731072
identified roll -0.015749 0.900804
basis and residual 0.023738 1.166907

Annualized arithmetic contribution by asset

asset formal_contribution_ann trend_contribution_ann identified_roll_contribution_ann basis_residual_contribution_ann proxy proxy_status
AU 0.022572 0.024184 0.002105 -0.003718 Gold ETF interim
CU 0.018295 0.017874 -0.001598 0.002020 SHFE copper continuous interim
IC 0.014811 0.008409 -0.005114 0.011516 CSI500 index preferred
IF 0.007883 0.004605 -0.002124 0.005402 HS300 index preferred
T 0.013184 0.013283 -0.005059 0.004959 CGB futures return index 10Y preferred
TF 0.015998 0.016398 -0.003960 0.003559 CGB futures return index 5Y preferred