Posts

Introduction The aim of this post is to give the updated baseline portfolio weights of the Polar Star Diversified Commodity Fund for …
Last updated on 2 min read Portfolio Construction, Rebalance

Introduction In Precio-Temporal Spread Model we investigated the seasonality and front month dependence of calendar spreads. …
Last updated on 3 min read Artificial Intelligence, Machine Learning, Time Series Decomposition

Introduction There is an increasing demand for a smart long-only product centered on the commodity space. When most investors think of …
Last updated on 6 min read Long-Only, Quantamental

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. …
Last updated on 3 min read Portfolio Construction

Introduction The aim of this post is to give the updated baseline portfolio weights of the Polar Star Diversified Commodity Fund for …
Last updated on 2 min read Portfolio Construction, Rebalance

Introduction In this post we indroduce another way to express a relative value trade between two different commodities. The main idea …
Last updated on 3 min read Relative Value, Calendar Spreads

Introduction This post is the first in a series of posts on deferred calendar spreads in the general commodities universe. A calender …
Last updated on 135 min read Curve Shape, Carry

Introduction F F - Feature Importance F - Fingerprint Method F - Model Results H H - Feature Importance H - Fingerprint Method H - …
Last updated on 12 min read Feature Importance, Coffee

Introduction H H - Feature Importance H - Fingerprint Method H - Model Results K K - Feature Importance K - Fingerprint Method K - …
Last updated on 12 min read Closing Stock Models, Corn, Feature Importance

Introduction The aim of this post is to give the updated baseline portfolio weights of the Polar Star Diversified Commodity Fund for …
Last updated on 3 min read Portfolio Construction, Rebalance