I extract continuous prices for a set of futures contracts using Bloomberg. I select the Ratio as adjustment with the Bloomberg default settings.

For instance, to extract the first/forward generic contract with the Ratio as adjustment you add B:00_0_R to the BB Ticker. So for CO1 Comdty you use CO1 B:00_0_R Comdty.

The problem

If you extract the historical values up to today, then the adjusted price of CO1 Comdty on 01/01/1990 is 8.92 (dataset A). However, if you extract only up to 28/04/2017 then the price is 8.79 (dataset B). This difference might not seem a lot, it has however significant implications on the performance.

Moreover, when I backtest my model (lets assume a simple long-only), I obtain a Sharpe of 1.46 with dataset A. However, with the more recent dataset B, I obtain a Sharpe of 1.20. In addition, some years turn negative.

I was wondering whether this is indeed a known issue with futures, and if so how deal with the problem?

  • $\begingroup$ I did not know that one could set these options by adding B:00_0_R to the ticker. Do you have a link to a reference for that? Thanks in advance! $\endgroup$ – cryo111 May 28 '18 at 11:27
  • $\begingroup$ Found in the help section of BB $\endgroup$ – JohnAndrews May 28 '18 at 11:39

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