Quantitative Research

A collection of in-house research on quantitative and quantametal features of global commodity markets.

Tools

R

Python

Statistics

Artificial Intelligence

Recent Posts

Introduction The aim of this post is to give the updated baseline portfolio weights of the Polar Star Diversified Commodity Fund for …

Introduction In a previous post we have tried to debunk long only commodity investing. The main arguments why it does not work over …

Introduction The goal of this write-up is to study the main fundamental drivers or the board soybean crush. We define the board crush …

Introduction In this write-up we study the historical optimal hedging ratio for the KW vs CA spread. This work follows from previous …

Introduction The aim of this write-up is to investigate what fundamental features can be seen as the driver of corn calendar spreads. …

Projects

*

Relative Value Trade Management

What is the optimal way to manage a relative value commodity futures trade after it has been identified as a possible opportunity?

General Quantitative Research

An overview of some of our general quantitative reseach.

People

Principal Investigators

Avatar

Mauritz van den Worm

Portfolio Manager and Quantitative Researcher

Global Commodities Markets, Artificial Intelligence, Reinforcement Learning, Data Science

Researchers

Avatar

Michael Chen

Quantitative Researcher

Data gathering and warehousing, Automation, Execution

Recent & Upcoming Talks

We show some examples of how to create a better long only commodity product and add some shameless plugs at the end.

A question we get asked often is if we have a long-only commodities product or if we can give investors access to long only commodities …

We give an overview of our thesis in systematic investing in the global commodities markets.