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From Komfie Manalo, Opalesque Asia:
According to the latest Hedgegate FoHFs newsletter, 2008 drew a Janus faced picture for commodity investors by clearly separating active and passive management. A passive, index near strategy would have suffered even more than stocks in 2008 (e.g. MSCI World down 37%, S&P Goldman Sachs Commodity Index (GSCI) down 46%, DJ UBS Commodity Index down 38%). A reason for this collapse can be detected in energy, or more specific, in oil prices, which fell about 55% in 2008.
Hedgegate, a free database of Swiss funds of hedge funds, said that three common commodity indices show indeed high weights in energy. The S&P GSCI contains around 70% (whereas crude oil accounts for a rough 40%), the DJ UBS Commodity Index (former DJ AIG) about 33% (with approximately 14% in light-sweet), and the Rogers International Commodity Index (RICI) 44% (whereas 21% are invested in crude oil).
The reason for these extreme weightings lies within the fact that most index providers measure the quantity of production of defined commodities for a given time period in the past. Due to economic growth before 2008, energy was the most produced asset and hence received the biggest weight.
2008: Active strategies beating passive indices
Many active strategies, represented by FoHFs investing in commodities and natural resources, listed on www.hedgegate.com, managed to beat the passive indices during 2008...................... To view our full article Click here
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