date:Jan 23, 2013
e cutting their holding in Chicago wheat less than forecast.
'Murky'
The discrepancies may be in part down to the CFTC data available including both futures and options, while the indices are composed only of exchanged-traded futures contracts.
However, they also stoke the idea of a process which is more difficult to forecast, especially in its price impact, than might be thought.
Morgan Stanley ahead of the rebalancing cautioned that the price impact of the process is murky.