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PAIA October 2017 Networking Event - Featuring John Moody, Portfolio Manager at J E Moody & Company LLC

Tuesday, October 17, 2017 - 4:30pm to 6:30pm
Cerulean Wine - 1439 NW Marshall St. Portland, OR 97209

Featured Speaker - John Moody, Portfolio Manager at J E Moody & Company LLC

JEM's Commodity Alpha Engine: A Peek Under The Hood


Commodity investments provide significant diversification for institutional portfolios, offering both alpha and beta sources of return and a hedge against inflation. Due to supply & demand dynamics, futures prices often exhibit a time-varying "convenience yield" vs. commodity spot prices, creating a universe of trading opportunities quite distinct from those found in financial futures. 

In this talk, I'll explain in particular how our Commodity Relative Value (CRV) approach is able to capture pure Alpha with no commodity Beta, trading a broadly diversified portfolio across five major commodity sectors. Unlike "passive", long-only commodity investments like indices and ETFs, our actively managed relative value portfolio does not incur negative "roll yield".  Rather, the CRV trading models are able to earn a liquidity premium, capture "carry" and profit from commodity supply shocks. The CRV portfolio benefits from nearly zero correlations between trades, and offers absolute returns that are uncorrelated with other hedge fund styles and asset classes. Our relative value positions are often insulated against directional price moves caused by "risk on / risk off" capital flows, unexpected news events, and sudden market dislocations like flash crashes.

While discretionary managers have "achieved" all of the spectacular headline "blow ups" in commodities (e.g. Amaranth in natural gas and Sumitomo in copper), CRV's systematic strategy provides disciplined risk management. Our statistically-rigorous approach to quant modeling is driven by economic & market fundamentals. Finally, we build "open box" (not "black box") models designed to avoid being "fooled by randomness".


John Moody is the portfolio manager of J E Moody & Company LLC, a quantitative commodity hedge fund he founded in 2001. JEM’s Commodity Relative Value strategy, launched in 2006, is a pure alpha, market-neutral approach to trading a diversified set of commodity futures markets with nearly zero correlations to most other hedge fund styles and asset classes.  

Moody has over 25 years of experience trading futures and options. He was named a Rising Star of Hedge Funds in 2009 and nominated for Managed Futures Pinnacle Awards in 2012 and 2013. RCM Alternatives / Attain has ranked JEM CRV among the best-in-class CTA programs globally for 2013/2014/2015/2016, including a 2016 Top 5 ranking for CTA programs over $100M. 

Moody has published over 65 scientific papers in computational finance, machine learning, and theoretical physics. His academic appointments have included Principal Investigator at Berkeley’s International Computer Science Institute, Professor of Computer Science and Director of the Computational Finance Program at Oregon Graduate Institute (now merged with OHSU), and faculty positions in Computer Science and Neuroscience at Yale University. He received his PhD and MS in Physics from Princeton and BA Honors in Physics at the University of Chicago.