Global Commodities: The worst is likely over for systematic curve carry strategies

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Global Commodities: The worst is likely over for systematic curve carry strategies

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24 Jun 2026 11:14:24 ET │ 14 pages

Global Commodities

The worst is likely over for systematic curve carry strategies

CITI'S TAKE

Kenny Hu, CFA AC

We expect commodities systematic curve carry strategies to continue to +65-6657-3873

recover as oil prices trend lower over the coming 6-12 months. A major de- kenny.x.hu@citi.com

escalation is our new base case, and we view any temporary summer rally in

oil prices as a rally to fade and a potential entry opportunity for curve carry. Maximilian J Layton AC

+44-20-7986-4556

Systematic curve carry strategies which short front-end and long back-end of the max.layton@citi.com

commodities curves have underperformed during the US-Iran war, as the energy

Anthony Yuenprice spikes led to big losses on the short leg (front-end) which cannot be offset

by the relatively small gains on the long leg (back-end). Using the BCOM-weighted anthony.yuen@citi.com

CVICFF60 Index as a proxy – which goes short the frond-end vs long 6m fwd – the Eric G Lee

strategy suffered a max drawdown of ~10% from the beginning of the war through

eric.g.lee@citi.comearly April, almost entirely driven by the petroleum complex and aluminium, the

commodities subject to the worst supply disruptions during the war (see Figure 1). Wenyu Yao

wenyu.yao@citi.comIn our early April systematic playbook for the Iran war outcomes, we highlighted

curve carry as the potential outperformer in the de-escalation scenario. Curve Francesco Martoccia

carry strategies indeed recovered with the initial US-Iran ceasefire but continued francesco.martoccia@citi.com

volatile sideways performance alongside choppy oil trading through late May. Since