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Systematic Risk Premia Strategies

In: Virtual Barrels

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  • Ilia Bouchouev

    (Pentathlon Investments, LLC)

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.

Suggested Citation

  • Ilia Bouchouev, 2023. "Systematic Risk Premia Strategies," Springer Texts in Business and Economics, in: Virtual Barrels, chapter 5, pages 83-107, Springer.
    • Handle: RePEc:spr:sptchp:978-3-031-36151-7_5
    DOI: 10.1007/978-3-031-36151-7_5
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