Systematic Risk Premia Strategies

Ilia Bouchouev
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Ilia Bouchouev: Pentathlon Investments, LLC

Chapter 5 in Virtual Barrels, 2023, pp 83-107 from Springer

Abstract: Abstract This chapter is devoted to systematic quantitative funds, known as commodity trading advisors (CTAs) or simply as algos. These traders tend to look at markets through the lenses of risk premia, such as momentum, carry, and value. We discuss how the source of these risk premia in the oil market is ultimately linked to the theory of storage. Important concepts of signal blending and the reaction function are introduced.

Date: 2023
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DOI: 10.1007/978-3-031-36151-7_5

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