Quantitative Research

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





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 - …



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.


Principal Investigators


Mauritz van den Worm

Portfolio Manager and Quantitative Researcher

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



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.