Oil Turmoil Rattles $134 Billion Complex of Quant Trades

While commodities QIS have offered strong opportunities since the start of the conflict, particularly trend, value and backwardation, one of Wall Street’s most popular systematic trades is now slightly down in the current environment.

We were recently quoted in recent Bloomberg’s article highlighting the challenges facing commodity curve carry strategies recently:

“Commodity curve carry strategies have dropped 3% this year as of March 11 — a significant move for a trade that typically targets only a few percentage points annually.”

This raises a broader question: how have different QIS strategies performed since the onset of regional tensions?

Read the full article on Bloomberg.

Find out how 30+ defensive QIS strategies performed when macro and geopolitical risk converged in Use Case: When Macro and Geopolitical Risk Converge.

See how factors have performed since the conflict began in Market Update - Iran Tensions and Factor Performance.

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