Supported futures

Each contract below can be built into a continuous future in the Asset Builder—choose Created as the Data Source, then Continuous Future as the Type, and select the contract by its ticker. How the roll, the term-structure month, and price adjustment work is covered in building continuous futures contracts. The continuous futures in pfolio's asset lists are built from these same contracts.

All contracts are quoted in US dollars. Three columns need a word of explanation:

• Multiplier is the size of one contract in the underlying's own units: the dollar value of one index point for equity-index futures (50 for ES), the physical quantity for commodities (100 troy ounces for GC), or the notional amount for currencies (12,500,000 yen for JPY). The continuous series itself tracks returns, so the multiplier does not change it—it is there to size a position and read the contract's notional.
• Contract months are the calendar months in which the contract lists. Most financial futures are quarterly—March, June, September, and December—while crude oil and natural gas list every month, and the metals and grains follow their own cycles. The fewer the listed months, the further each step out along the term structure (the Future Month) reaches in time.
• Data from is the first day of raw futures history for the contract: the start of a continuous future you build from the contracts themselves. Several of pfolio's pre-built futures are backfilled to reach much further back, listed in backfilled history in the pre-built futures below, and any future you build can be extended the same way with a backfill.

Where it made sense and a matching long-history asset was available, pfolio's pre-built futures are backfilled with the underlying index or a closely related asset, so the series reaches back well before the futures themselves began trading—the S&P 500 future, for example, runs to 1927 and the Dow future to 1914. This applies to the VIX future, the Ultra U.S. Treasury Bond future, and all the equity-index futures. The continuous futures in our asset lists use these extended versions, and you can apply the same backfill to any future you build.

Building continuous futures requires the Futures add-on. Without it the Continuous Future type is disabled and an alert links to where the add-on is activated.