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From Komfie Manalo, Opalesque Asia:
Tiberius's long-only funds turned in a slightly negative performance in August 2009, both in absolute and relative terms. The Switzerland-based asset management company said that Commodity Alpha OP (CA USD) underperformed its benchmark index (DJUBS Total Return) by -0.89%, while Tiberius Commodity Alpha Euro OP (CA Euro) undershot its benchmark (DJUBS Excess Return plus 3-Month Euribor) by -0.86%. Only Tiberius Active Commodity OP (TAC) was able to outperform, surpassing its benchmark (RICI Total Return) by a small margin (+0.11%).
In its Market Commentaries report, Tiberius said its investment ratio was kept between 95% and 100% for all the long-only funds. Given the close-to-zero performance of the commodity indices, our investment-ratio management did not generate any significant performance contributions. The month's underperformance was due in large part to underweighting of sugar, whose appreciation was considered to be overheated.
The other commodity that contributed most to negative performance in August was natural gas. The long-only funds were almost neutrally weighted in natural gas in relation to their benchmark indices, but their positions were more heavily slanted towards the nearby contract. As it turned out, the nearby contract fared less well than the second-nearby, into which the benchmark indices had already rolled. On the positive side, Tiberius said it derived...................... To view our full article Click here
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