RCube Commodity Spread Program earns another BarclayHedge Award.
The RCube commodity Spread Program, a commodity arbitrage strategy, has been featured in BarclayHedge’s monthly performance rankings. The program has ranked #5 in the Agricultural Traders category for May 2018.
This follows the number 1 position obtained in January 2018.
For further information, please contact info(at)rcube.com
RCUBE COMMODITY SPREAD PROGRAM (RCSP): Alpha is generated by its unique approach using quantitative and qualitative analysis to select uncorrelated spreads in agricultural markets. RCSP trades agricultural calendar, cross products and location spreads with a global reach (CBOT, CME, ICE, Euronext, Kuala Lumpur, Winnipeg etc.). Firstly, we select the spreads with the strongest statistical signal from our modelisation based on advanced statistics and a large database containing futures prices, cash prices, CFTC, USDA, FX, exports etc. Secondly, within this selection, we use our fundamental knowledge and cash contacts to make a qualitative selection. Lastly, RCSP builds a portfolio containing around 10 of the uncorrelated selected spreads. The portfolio targets a 7.5% volatility and risk by spread is limited. Olivier Merle – CIO Commodity – RCube Commodity Spread Program manager. Since 2011, Olivier MERLE traded successfully his own account. He holds a Msc in Econometrics from the London School of Economics and a Msc in statistics from ENSAI. Olivier founded Agritel’s quantitative departement. Agritel is the leader in consulting for european agricultural cash traders. He is the author of Highlight of the week, a weekly letter on agricultural spreads and a speaker for the Paris Grain Day international conference. Olivier has a passion for advanced statistics, the agricultural world and strong contacts with cash traders.