We helped the management team of a commodity business develop and launch a Commodity Note for institutional investors. A portfolio-based, long/ short algorithmic product, exploiting momentum in 19 commodity markets. A 5-year Principal Protected (PP) note, with a quarterly coupon linked to performance. The development included backtesting of 10 years of market data.
Some of our project activities:
- Put together product development roadmap and operating processes
- Coordinated the working group (Research, Sales, Risk, Ops, IT)
- Supervised testing and launch
It took most of 2007 to bring the product to market. It was launched at the end of 2007. In 2008, when all the stock and commodity markets crashed, it was the best performing product. It returned over 50%. (The portfolio changed from long to short commodities at about the right time.)
To learn more about the Commodity Portfolio Product project, including the challenges of developing and launching such product during the 2007-2008 financial crisis, please contact us: