Flirting with Models Faheem Osman – Commodity QIS: An Under-Appreciated Source of Systematic Returns? (S7E29)
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Apr 6, 2026 Faheem Osman, Managing Director and Global Head of QIS Structuring at Macquarie with nearly two decades in commodities and quantitative structuring. He explores commodity QIS as a distinct source of systematic returns. Short segments cover curve carry, index congestion, commodity volatility and volatility selling, the rise of weekly options, and what 0DTE activity means for vol premia.
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Commodities Deliver Durable Systematic Premia
- Commodities offer distinct, durable premia because they're tied to physical supply chains rather than financial issuance.
- Producer/consumer hedging and mechanical index rolls create persistent, repeatable flows across energy, metals, agriculture, and livestock.
Overlay Factors Or Enhance Beta To Improve Commodity Indexes
- When adding QIS to an index allocation, either overlay factors like curve carry and momentum or enhance beta via smarter roll/timing rules.
- Align implementation to the client's tracking error, leverage, and objective to improve Sharpe and reduce risk.
Why Curve Carry Has Been Remarkably Persistent
- Curve carry harvests roll-yield differentials across futures tenors by shorting steep front-end rolls and longing flatter back-end rolls.
- The strategy succeeds because returns are spread across many markets/tenors and hedging flows are price-insensitive producers and consumers.
