Sun, Apr 30, 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: Ex-Man manager combines sustainable investing with AI/ML[more]

    Benedicte Gravrand, Opalesque Geneva for New Managers: Dr. Richard Bateson, quant fund manager and physicist, has recently

  2. Other Voices: "Winner-take-all" dynamics and hedge fund investing[more]

    A growing stream of thinking in microeconomics is the concept of "winner-take-all" dynamics. The idea seems simple. A combination of networking economics and classic economies of scale creates situations where there are just a few dominant firms or economic agents who are able to capture significant

  3. Investing - How Chipotle's comeback attracted big data robots and value investors alike[more]

    From Forbes.com: When William Ackman's ailing hedge fund Pershing Square Capital Management bet $1 billion on shares in Chipotle Mexican Grill beginning in July 2016, the stakes couldn't have been higher. Pershing Square was reeling from what would eventually be a near $4 billion loss in drugmaker V

  4. Gondor Capital sees challenges ahead for financial markets as two hedge funds post strong gains in Q1[more]

    Komfie Manalo, Opalesque Asia: Vincent Au, portfolio manager of New York-based hedge fund firm Gondor Capital Management believes that the remaining of the year would be challenging for the financial markets even as his two hedge funds maintain

  5. Service Providers - Colemore launches fee tracking service for limited partners[more]

    Following Colmore's successful launch in January 2017, the firm has announced the launch of FAIR.. FAIR is designed to help private equity investors independently validate fees and incentives charged by underlying managers, saving time and providing an extra level of comfort. There is a glob