Thu, Aug 17, 2017
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

SunGard's PCA identifies factors that are typically responsible for driving commodities price variance

Thursday, December 01, 2011
Opalesque Industry Update - Building a Multi-Asset Class Risk Model: The Commodities Example − Correlation is the Key

In a poll conducted last year by Barclays Capital, nearly two thirds of institutional investors indicated a desire to increase their exposure to commodities through 2012 in an effort to generate increased alpha. At the same time, macro risk concerns remain front and center, prompting asset managers to continue to place great emphasis on solutions that will allow them to increase transparency on behalf of their institutional clients.

There is no doubt that commodities are rapidly becoming a far more important asset class. Still, some important questions remain − among them, the extent to which commodities serve as proxies for certain emerging-markets equities, and, perhaps more importantly, their relevance as tools for diversification within a portfolio that also includes equities, bonds and other non-commodities investment products.

These and other issues can be addressed by looking at the systematic risk factors that serve as drivers for today’s commodities pricing. One of the best ways of using these factors within a practical application is by creating a multiasset class (MAC) risk model. Because of its ability to reveal portfolio risks through asset correlations, the multi-asset class risk model serves as an efficient and powerful tool for successfully controlling commodities-based risk. It is one of a suite of broad, multi-asset class risk models through SunGard APT, a provider of solutions for risk and portfolio managers.

The PCA Way
How do changes in commodities prices impact the risk and return of other asset classes? ...

(intro to the Whitepaper)

Download the SunGard APT Whitepaper here: Source

BG

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Opalesque Exclusive: Albright Capital puts a value lens on emerging markets[more]

    Bailey McCann, Opalesque New York: Over the past decade, investors have steadily increased investments in emerging markets private funds. Allocations to the cohort have increased from $93 billion in December 2006 to $564 billion in September 2016, according to data from research firm Preqin. Howe

  2. Other Voices: Crisis risk offset; about time?[more]

    This article was authored by Russell Barlow, global head of hedge fund solutions at London-based Aberdeen Asset Management. Like the ubiquitous force of gravity, when financial markets rise they must fall. The quest

  3. Comment: "Long-Term Investing": What managing drawdown risk can do to your long-term returns[more]

    Matthias Knab, Opalesque: Real Investment Advice writes on Harvest Exchange: Last week, I was having lunch with a prospective portfolio management client discussing the curre

  4. Jasper Capital International joins Hedge Fund Standards Board[more]

    Komfie Manalo, Opalesque Asia: Diversified and systematic investment firm Jasper Capital International has become the second China-based signatory to the Hedge Fund Standards Board (HFSB), an organization that brings hedge fund managers and investors together to set standards for the hedge fund i

  5. Investing - Hedge-fund honchos including David Tepper are loading up on Alibaba, Billionaire hedge fund manager Stanley Druckenmiller is betting big on the Chinese consumer, Big-name U.S. hedge funds shed healthcare stocks during the rally in second-quarter, U.S. hedge funds bearish on FAANG stocks in second-quarter, Hedge fund titan Viking Global made a $680 million bet on scandal-plagued Wells Fargo[more]

    Hedge-fund honchos including David Tepper are loading up on Alibaba From CNBC.com: David Tepper's Appaloosa Management and three other he ge funds took new stakes in Chinese e-commerce giant Alibaba in the second quarter, according to the latest quarterly filings. Appaloosa disclos