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El nino

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Two bars: our cocoa model's Sharpe ratio over 2011-2026, 1.08 without El Niño and 0.97 with it
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Should cocoa traders follow El Niño?

On 10 September NOAA put the chance of a very strong El Niño above 90%. We measured what El Niño told a cocoa trader since 2011: added to our cocoa model, it lowered the result, and the model did better with it in one season only, 2023-24.

The AlphaGen Team7 min