Can quantitative and fundamental approaches be successfully combined?

In my estimate, this has been a top 5 industry question for a long time, including this conference at which I’ll be speaking at tomorrow

The short answer is: Yes

**Blog**

Can quantitative and fundamental approaches be successfully combined?

In my estimate, this has been a top 5 industry question for a long time, including this conference at which I’ll be speaking at tomorrow

The short answer is: Yes

Commodity Futures contracts were established in 1865, but commercially available data starts in 1959, leaving an 80+ year period of unstudied history. In our latest academic paper “Two Centuries of Commodity Futures Premia” Chris Geczy and I use hand-collected futures data to extend the well-known cross-sectional Value, Momentum and Basis factors in commodity futures back to 1877.

While there exists a well-established (at least a century-old) academic interest in the long-run properties of asset class returns like the U.S. Equity, Fixed Income, Commodity and Real Estate Markets, only during the past decade, has there emerged a branch of literature studying the cross-sectional factors like price momentum and value, as well as other effects like trend and volatility over the long-run.