M&M hypothetical portfolio performance
Closed-trades equity, 2022-01-01 to 2026-06-12. Y-axis: cumulative return from $1M baseline. Gold dashed line marks the 2021-12-31 HMM training cutoff. All returns shown are out-of-sample.
Weekly performance snapshot: 1-week, MTD, YTD, OOS MaxDD, OOS Total Return.
A note on this week's numbers. We normalised the portfolio's volatility target this week, bringing the historical curve onto the same risk setting we are running live. The figures above reflect that change. Selection logic is unchanged; only the position-size scaling moved. Full detail in the methodology log.
Featured this week: Cocoa (CC)
Cocoa is the cleanest split between the cohorts on the board this week. The speculative crowd is almost completely out of the market. Swap dealers are at their highest reported net long in history. No other market across the 31 we track shows that kind of clean divergence on this Friday's print.
Managed Money (the speculators). Net short about 27,000 contracts. This is the lightest position the cohort has carried in cocoa since the 2018 grind lower. They have been cutting length for nine weeks in a row. There is almost no one left on the long side to sell.
Managed Money net position, all-time percentile, and 26-week index. Net at the bottom 5% of recorded history. 26-week index at zero.
Producers and Merchants (the hedgers who handle the physical bean). Net short about 20,000 contracts, which is normal for them. Being short cocoa is part of their hedging business. What matters is that they covered roughly 5,000 contracts on the week. Producers covering before speculators turn is the classic order of operations near a positioning-driven bottom in soft commodities.
Producer and Merchant net position, all-time percentile, and 26-week index. The 26-week index lifted 24 points on the week as commercials covered.
Swap Dealers (who carry client flow). Net long about 50,000 contracts. This is the largest net long ever recorded for this cohort in cocoa. Swap dealer futures positions reflect the aggregate direction of their clients. In cocoa, that client flow is dominated by producer-hedger demand. The dealer book at an all-time high tells us producer-side hedging clients have been adding length aggressively.
Swap Dealer net position, all-time percentile, and 26-week index. All three readings at 100. The only cohort across all 31 markets sitting at a clean all-time high this Friday.
Price. Cocoa closed at 3,868, up 2.82% on the week. That is down 34% year-to-date and 58% off the early-2025 peak above 9,000.
The moving averages are not aligned in either direction. Price sits above the 50-day and 100-day averages but below the short-term 20-day and the long-term 200-day. The 200-day is still roughly 30% above the current price, a reminder of how far cocoa has fallen and how much room a recovery has before it hits real trend resistance.
Cocoa weekly close with moving averages, and net positioning for Managed Money, Producers, and Swap Dealers over a three-year window. Swap dealer net long at an all-time high. Speculator net short close to the bottom of its history.
Where price sits inside the delta profile. The three-month delta profile shows speculators have been net short across the 3,700-4,200 zone, where the recent selling pressure was built. Cocoa is currently trading in the lower half of that zone. Their previous accumulation footprint sits below it. Stepping back further, the six-month delta profile points at 3,205 as the single price with the most concentrated positioning activity, a level still acting as a magnet underneath the market.
The flip side sits above. A weekly close above 4,250 would push price out of the recent short-build zone and into open air. Historically that kind of move forces an underwater short side to cover, which is where the asymmetry in this setup would start to express itself fast.
COT delta profile across 1- and 3-month lookbacks. The POC (point of control) marks the price level with the heaviest net positioning activity in the window.
Historical analogs. Our system looked for prior weeks where speculators in cocoa were positioned this lightly. It found 9 matches going back to 2010, eight of them with a full 26 weeks of forward price data we can read.
The median forward returns across those eight cases: roughly flat at one week, +3.6% at four weeks, +3.9% at eight weeks (with three out of four winning), and +12.3% at 26 weeks, with seven of eight cases finishing positive. Even the bottom-quarter case in the cohort still finished six months later up roughly nine percent. The best case finished +27.5%. The worst, -12.5%.
The historical record around this kind of speculator exhaustion is tilted strongly upward at the six-month horizon.
Eight historical cases where speculator positioning in cocoa was this depressed. Median forward path with interquartile range. 87.5% of those cases finished higher at 26 weeks.
Seasonality. Cocoa at this point in the calendar (the second week of June) is historically weak in the near term. The four-week forward win rate runs 20-35% across our 5-, 10-, 15-, and 20-year lookbacks. The twelve-week window is similar at 30-40%. The picture changes at six months: win rates climb to 60-80% and the five-year average return turns positive at +5.1%.
The historical analog and the calendar pattern disagree on the next quarter and agree on the back half of the year. That tension is built into the trade.
Forward return distribution for cocoa across six horizons. The analog column draws on the eight matched cases. Seasonal columns show 5-, 10-, 15- and 20-year June Week 2 win rates and mean returns.
What's moving across the 31-market book
Grains: Managed Money cut length hard across the whole complex. Corn alone saw 120,407 contracts of net selling, the single biggest cohort move on the board. Soybeans were cut by 65,294, soybean oil by 24,997. Speculator length in soybean oil is still near the top 1% of its recorded history. The unwind from there has more room.
Grains positioning heatmap across cohorts and metrics. Speculator length on the long side is unwinding, but still elevated in soybean oil.
Equities: Speculators covered shorts in S&P 500 (+54,261), Nasdaq 100 (+18,886) and Dow (+3,967). Asset Managers (the "real money" cohort) are still long the mega-caps but trimming on the margin.
Equity index positioning heatmap across cohorts. Speculative short covering visible across the board. Asset Manager length still concentrated in the large caps.
Energy: Producer hedging in WTI Crude is at the highest level we have on record. Swap dealers, who carry the client side, are at the very bottom of theirs, reflecting near-record client length built through swaps.
Energy positioning heatmap across cohorts. WTI shows the cleanest split: producers at the top of their range, swap dealers at the bottom of theirs.
Softs: Cocoa speculators sit at the bottom of their range while swap dealers sit at the top (this week's featured market). Coffee speculators meanwhile cut their position to one of the most depressed reads in a year.
Softs positioning heatmap across cohorts. Cocoa stands out for the size and cleanliness of the spec-vs-swap divergence.
FX: The classic funding currencies are stacked heavily short on the speculator side. Yen and New Zealand dollar are near the all-time bottom of speculator net positioning. The Swiss franc sits at one of the most extreme negative one-year reads in the data.
FX positioning heatmap across cohorts. Funding currencies stacked short on the speculator side. Commodity currencies less stretched.
Rates: Asset Managers piled to all-time long positioning in 10-year T-Notes, adding 68,612 contracts on the week. Dealer positioning in 30- and 10-year notes sits at the very bottom of its range, reflecting near-record client length across the curve.
Treasuries positioning heatmap across cohorts. Asset Manager length at the top of the range across the curve. Dealer book at the bottom of theirs.
Metals: Copper speculators are still crowded long, near the top 7% of their history, while copper producers sit at the all-time bottom of theirs. Both ends of the rope are stretched.
Metals positioning heatmap across cohorts. Copper most stretched on both sides of the rope. Gold and platinum show less extreme reads.
All 31 tearsheets, week of 2026-06-12:
Closed-trades highlights
No closed trades this week. The model held all eight active positions through Friday's close. Most recent turnover was the 2026-05-15 cycle (4 closes, 4 opens) when the book rotated into the current grain-metal-equity configuration.