Tue, May 3, 2016
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. Hedge funds see $14.3bn outflows in Q1, CTAs and multi-strategy lead net inflows[more]

    Komfie Manalo, Opalesque Asia: The hedge fund industry saw net outflows of investor capital in the first quarter of the year, totaling $14.3bn, data from Preqin showed. This continues from the $8.9bn overall net outflows that funds recorded in Q4

  2. Third Point calls Q1 "catastrophic" for hedge funds[more]

    Bailey McCann, Opalesque New York: The first quarter of this year was rocky for hedge funds based on aggregate performance from the industry, but now we are beginning to hear what the managers thought of it as quarterly letters make their way to investors. Dan Loeb, CEO of New York-based $17 bill

  3. Asia - Stabilization of China's capital outflows may hinge on Janet Yellen, Fink says China to do well this year as bubble threat postponed, Chinese hedge fund to invest in India’s infrastructure[more]

    Stabilization of China's capital outflows may hinge on Janet Yellen From Bloomberg.com: Whether China’s recent stabilization of its currency and capital outflows continues -- or downside pressure reignites -- may hinge in large part on Janet Yellen. If the Federal Reserve chair sticks to

  4. …And Finally - After all, judges are human too[more]

    From Newsoftheweird.com: In March, one District of Columbia government administrative law judge was charged with misdemeanor assault on another. Judge Sharon Goodie said she wanted to give Judge Joan Davenport some files, but Davenport, in her office, would not answer the door. Goodie said once the

  5. Comment - Unmasking the men behind Zero Hedge, Wall Street's renegade blog[more]

    From Bloomberg.com: Colin Lokey, also known as "Tyler Durden," is breaking the first rule of Fight Club: You do not talk about Fight Club. He’s also breaking the second rule of Fight Club. (See the first rule.) After more than a year writing for the financial website Zero Hedge under the n