Posts

Introduction In a previous post we have tried to debunk long only commodity investing. The main arguments why it does not work over …
Last updated on 7 min read Long-Only, Curve Shape, Carry, Portfolio Construction

Introduction The goal of this write-up is to study the main fundamental drivers or the board soybean crush. We define the board crush …
Last updated on 16 min read

Introduction In this write-up we study the historical optimal hedging ratio for the KW vs CA spread. This work follows from previous …
Last updated on 17 min read Relative Value, Sizing, Roll

Introduction The aim of this write-up is to investigate what fundamental features can be seen as the driver of corn calendar spreads. …
Last updated on 13 min read Calendar Spreads, Corn, Machine Learning

Introduction Some time ago we performed an events study on the Bridgeton Orders. In this write-up we tried to see if there were any …
Last updated on 4 min read Trend Following

Introduction When a simple question does not have a simple answer it might point to something interesting that is worth threading out. …
Last updated on 19 min read Relative Value, Sizing, Roll

Introduction The aim of this post is to give the baseline portfolio weights of the Polar Star Diversified Commodity Fund. We employ the …
3 min read Portfolio Construction, Black-Litterman

Introduction This write-up tries to address the question of how we can increase the synergy and collaboration between quantitative and …
Last updated on 5 min read Artificial Intelligence, Machine Learning, Quantamental

Introduction In previous posts we have explored ideas on how to construct fundamental models for forecasting the price of corn and …
Last updated on 13 min read Closing Stock Models, Corn, Wheat, Relative Value

Introduction In previous posts we have explored ideas on how to construct fundamental models for forecasting the price of corn and …
Last updated on 13 min read Closing Stock Models, Relative Value, Wheat