Sun, Mar 1, 2015
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. Investing - Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched, Myriad hedge fund sold bulk of its Alibaba stake last year[more]

    Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched From Valuewalk.com: As hedge fund manager Seth Klarman, leader of the $28 billion Baupost Group, reviews 2014 performance and considers investors gained near 7 percent on the year, he cons

  2. Adamas Asset Management and Ping An Insurance to co-manage $500m debt fund[more]

    Komfie Manalo, Opalesque Asia: Hong Kong-based Adamas Asset Management and Ping An Insurance Group, one of China’s largest financial institutions, have finalized a memorandum of und

  3. Opalesque Exclusive: dbSelect’s top ten FX strategies average almost 10% in January[more]

    Benedicte Gravrand, Opalesque Geneva: In one of Deutsche Asset & Wealth Management (AWM)’s hedge fund platforms, called dbSelect, a number of FX Strategies did very well in January. dbSelect is a managed investment platform for unf

  4. Opalesque Exclusive: SEC’s Mark J. Flannery warns hedge funds against valuation misconduct[more]

    Komfie Manalo, Opalesque Asia: Securities and Exchange Commission chief economist and director of Division of Economic and Risk Analysis (DERA) Mark J. Flannery has warned of the risks posed by market misconduct, particularly in the true valuation of assets by hedge fund managers. In his

  5. Dymon Asia's $3bn macro hedge fund lost 10.45% in January[more]

    From Reuters.com: Dymon Asia's $3.1 billion macro hedge fund lost 10.45 percent in January, performance data seen by Reuters showed, a month where many peers lost heavily after a surprise rise in the Swiss franc. Singapore-based Dymon, set up by Danny Yong, a former founding partner and chie