Benjamin Hoff – Commodity Futures Surfaces and the Cash-and-Carry Glue (S7E17)
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Hey, everyone. Corey Hofstein here. If you've been tuning into Flirting with Models, you know I'm all about rethinking portfolio construction, and I wanna personally invite you to an event that's doing just that. On October 8, we're hosting the Return Stacking Symposium at Cboe Global Markets in Chicago. It's a one day in person deep dive into capital efficient strategies, and we're featuring speakers like Jonathan Glidden, CIO of Delta Air Lines, Patrick Casley from One River, and Mark Horbel, managing director of the Systematic Strategies Group at Canada Pension Plan. This is your chance to
am ready, Corey. Alright. 321.
Let's jam. Hello, and welcome, everyone. I'm Corey Hofstein, and this is Flirting with Models, the podcast that pulls back the curtain to discover the human factor behind the quantitative strategy.
Corey Hofstine is the cofounder and chief investment officer of Newfound Research. Due to industry regulations, he will not discuss any of Newfound Research's funds on this podcast. All opinions expressed by podcast participants are solely their own opinion and do not reflect the opinion of Newfound Research. This podcast is for informational purposes only and should not be relied upon as a basis for investment decisions. Clients of Newfound Research may maintain positions and securities discussed in this podcast. For more information, visit thinknewfound.com.
My guest this episode is Benjamin Hoth, global head of commodity strategy at SocGen. In this conversation, we explore how commodities differ fundamentally from other asset classes, the importance of cash and carry economics, the sparse information cadence that rewards technical models, and the physical realities that challenge purely quantitative approaches. We also dive into Ben's more recent work on the geometry of the future surface, how convexity and skewness may be misunderstood, and why tools like Levy Area may help uncover nonlinear structure in the data. Whether you're deep in the weed
here, Corey. Thank you so much for having me on.
So I know you didn't begin your career as a commodity strategist. For the benefit of the listeners, can you start by walking us through your background and maybe take us through the accelerated story of how you got to where you are today? Absolutely.
It better be accelerated. Otherwise, everyone will fall asleep. But back in my more virtuous days, I actually started off as an academic. I have, for my sins, a theoretical pure math PhD, and I kind of got into finance really through the flow of time. I guess nothing really special or particularly designed by myself. I graduated in 02/2006, and at the time, everyone and their dog who could basically solve a stochastic differential equation was effectively sucked into the maelstrom of Wall Street in the city. And one of those being sucked in was me, and I ended up on a rates exotics desk at the
mentioned that you started your career on the rate side before moving to commodities. You could draw a connection between those two asset classes because they both trade on a curve, but it feels like the similarities sort of end there. Can you talk a little bit about what were maybe sort of the, for lack of a better phrase, curve culture shocks that you encountered as you switch desks from the rate side to the commodity side and maybe how you think about those differences and how those differences shape the way you think about looking at the commodity market and the pursuing of edge in commodi
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