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 In this post we explore the use of a first loss model in the case of the Polar Star Limited relative value commodity fund. …

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

Introduction In this post we indroduce another way to express a relative value trade between two different commodities. The main idea …

Introduction This post is the first in a series of posts on deferred calendar spreads in the general commodities universe. A calender …

Introduction F F - Feature Importance F - Fingerprint Method F - Model Results H H - Feature Importance H - Fingerprint Method H - …

Projects

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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

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Mauritz van den Worm

Portfolio Manager and Quantitative Researcher

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

Researchers

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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.