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.