Systematic and Risk Premia Trading

Rule-based factor models originated in equity markets and were later adapted to commodities. Although broad applications initially showed promise, a one-size-fits-all approach lost explanatory power as commodity markets matured. The same techniques are unlikely to produce a sustainable trading edge across oil, gold, copper, and corn, since each market is shaped by distinct fundamentals and dynamics. Identifying these commodity-specific risk factors is a central focus of our research on Systematic and Risk Premia Trading.