Flirting with Models
Flirting with Models is the show that aims to pull back the curtain and meet the investors who research, design, develop, and manage quantitative investment strategies.
Faheem Osman – Commodity QIS: An Under-Appreciated Source of Systematic Returns? (S7E29)
Corey Hoffstein and Faheem Osman explore commodity quantitative investment strategies (QIS) and their evolution with changing client demands. They discuss the benefits of incorporating commodities into systematic strategies, covering factor taxonomy, index enhancement techniques like curve carry, and oil volatility's impact. The episode examines balancing refinement and overfitting in QIS, the volatility risk premium, and the shift to weekly options in commodities. It concludes with insights into short-dated strategies, Faheem's health interests, and closing remarks.
Key Points
- Commodity QIS strategies capitalize on unique, persistent market dynamics driven by physical supply chains and hedging behaviors, making them a rich source of systematic returns.
- Curve carry strategies benefit from the differential in roll yield along the futures curve, with their robustness stemming from diversified exposure across multiple commodities and tenors.
- The shift towards weekly options in commodities reflects a demand for precision around specific events, requiring more frequent delta hedging and dynamic selection of tenors to optimize the volatility risk premium.
Chapters
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| 1:19 | |
| 5:44 | |
| 11:18 | |
| 15:25 | |
| 18:13 | |
| 21:08 | |
| 23:35 | |
| 26:26 | |
| 32:08 | |
| 38:20 | |
| 44:06 | |
| 47:27 | |
| 51:02 | |
| 53:18 | |
| 57:20 | |
| 59:34 | |
| 1:03:59 | |
| 1:04:26 | |
| 1:06:19 |
Transcript
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