Browsing: commodities

Posts Tagged ‘ commodities ’

Real Estate Tops the Willis Alternative Investment League Table

Aug 10th, 2017 | Filed under: Hedge Funds, Industry Size & Managers, Newly Added, The A.I. Industry

Willis Towers Watson (NASDAQ: WLTW) recently posted its Global Alternatives Survey. WLTW is a consultancy with a long history, roots going back to 1828, and that now has 40,000 employees serving clients in 140 countries. The gist of its new report is that the alternatives asset industry has grown toRead More


Til and Heckinger on Commodity Debacles, Part II

Aug 6th, 2017 | Filed under: Due Diligence Process, Newly Added, Personalities in AI, Risk Management & Operations

A new paper available at SSRN looks at two infamous commodity industry melt-downs: Amaranth and MF Global. It offers a diagnosis of each. The paper is co-authored by Hilary Till, of EDHEC – Risk, and Richard Heckinger, of the Working Group on Financial Markets, Federal Reserve Bank of Chicago. InRead More


Til and Heckinger on Commodity Debacles, Part I

Aug 3rd, 2017 | Filed under: Commodities, Commodities, Commodities: Examples, Energy, Investing in Commodities, Newly Added

A new paper available at SSRN looks at two infamous commodity industry melt-downs: Amaranth and MF Global. It offers a diagnosis of each. Hilary Till, of the EDHEC – Risk Institute, and Richard Heckinger, of the Federal Reserve Bank of Chicago, share the by-line. They acknowledge research assistance from KatherineRead More


How Do They Get Those Non-Correlated Returns?

May 30th, 2017 | Filed under: Commodities, Due Diligence Process, Investing in Commodities, Newly Added, Risk Management & Operations

In a recent paper Mark Shore, of Shore Capital Management, has discussed overlaying of strategies in managed futures, saying that it is something he covers in his course on managed futures at DePaul, but that in general it “is not discussed as much as it should be.” Behind that question,Read More


Broad Commodities: Value, Inflation, Implementation

May 29th, 2017 | Filed under: Commodities, ETFs, Investing in Commodities, Newly Added

ETF Securities (US) LLC, a New York-based asset manager and manufacturer of ETP’s (Exchange Traded Products),” has issued a white paper written by its Director, Investment Strategy, (Maxwell Gold), on “broad commodities,” that is, on the use of a broad basket of commodities, as a way of allowing an investor’sRead More


The Return Characteristics of Gold Mining Stocks

Jan 3rd, 2017 | Filed under: Commodities, Commodities: Examples, Equity-linked Structured Products, Gold, Investing in Commodities, Newly Added, Structured Products

Two Maryland-based scholars have reviewed the evidence of the performance of gold mining stocks. The title of their article, which appears in the Alternative Investment Analyst Review, November 2016, puts the central question bluntly: are such stocks “more like gold or like stocks”? Let’s get the answer to that queryRead More


Venezuela: Thinking of Cromwell and Crude

Oct 13th, 2016 | Filed under: Commodities, Commodities: Examples, Emerging markets, Finance & Economics, Newly Added, oil, The Global Economy & Currencies

Hedge funds, among them some of those the unsympathetic call “vultures,” bought into the bonds of the Petróleo de Venezuela SA (PDVSA) early this year. PDVSA is Venezuela’s state-owned oil company, the consequence of nationalization forty years ago. Its fate turns on (a) the vagaries of post-Chavez politics in thatRead More


Headline vs. Core Inflation: We Shouldn’t Have Laughed

Aug 4th, 2016 | Filed under: Commodities, Hedge Funds, Investing in Commodities, Newly Added, Structure of the Hedge Funds Industry

I’m old enough to remember the 1970s, and to remember the economic debates in the United States at the time concerning the inflation of that era. The U.S. left the Bretton Woods system near the start of the decade, thus ushering the “free float” of currencies against one another inRead More


A Review of the Commodity Index/Global Hunger Controversy

May 24th, 2016 | Filed under: CAPM / Alpha Theory, Commodities, Finance & Economics, Financial Economics Theory, Investing in Commodities, Newly Added

The consensus in market scholarship seems to be not only that “still waters run deep” but that deep waters run still. The greater the depth of volume in a commodity, the lesser the volatility of that commodity’s price. (This of course requires the usual “other things being equal” caveat.) ThisRead More


Platts Windows and Cash Settlements

May 19th, 2016 | Filed under: Commodities, Commodities: Examples, Newly Added, oil

The “Platts window,” a metaphorical structure named after the influential provider of benchmark price assessments in various energy markets, consists of the final few minutes of trading, the period in the operation of an exchange when an aggressive player can have a big effect on the closing price.  A recentRead More


Risk Management & the Trouble with Capacity-Driven Decisions

Apr 28th, 2016 | Filed under: Commodities, Investing in Commodities, Newly Added, Risk management, Risk Management & Operations, Risk Management Strategies & Processes

A recent CAIA member contribution by Kathryn Kaminski, director of investment strategies at Campbell & Co., discusses the quantification of CTA risk management.  It is worth a look, not least because it amounts to a warning about how underperformance can result for the re-jiggering of allocation for capacity constraints. KaminskiRead More


2016 Allocator Trends Report: Consensus and Dissension

Apr 7th, 2016 | Filed under: Commodities, Commodities, Investing in Commodities, Newly Added

Context Summits has published a detailed report on the views of those who allocate money into hedge funds. Almost everybody they talked to is in on the act. Ninety-six percent of investors expect to allocate to two or more hedge funds in 2016.  A majority (57%) were prepared to investRead More


Proposed Reg AT: Comments Pile Up at the CFTC

Mar 22nd, 2016 | Filed under: Commodities, Commodities, Commodities: Examples, Energy, Newly Added, oil, Regulatory Environment, The A.I. Industry

The CFTC received a last-minute pile-up of comments on proposed rule 80 FR 78824, on automated trading. The commenters generally are not in a mood to pat the agency on its intangible back and congratulate it on a job well done. Quite the contrary. The notice of proposed rule-making (NPRM)Read More


Eurekahedge: From Latin America to Middle Earth 

Mar 20th, 2016 | Filed under: Allocating to A.I., CTA, Hedge Funds, Macro and Managed Futures Funds, Newly Added, Performance, Analytics & Metrics

The latest report from Eurekahedge tells us that hedge funds worldwide are down year-to-date through February, -1.27 percent. Dividing the industry by geographic mandates, Latin America is the only region to post YTD gains, +1.9% due to a rally in oil and commodities. Table 1, adapted from the report below,Read More


Carry Strategies: Beyond Foreign Exchange

Feb 21st, 2016 | Filed under: Commodities, CTA, Currencies, Forex, Hedge Funds, Macro and Managed Futures Funds, Newly Added, The Global Economy & Currencies

International investors borrow money in countries where interest rates are relatively low, and then lend it out in countries where the rates are higher. All they do is “carry” the money, so to speak, from one country to the other.Read More


A Perennial Gale Hits the Coffee Industry

Jan 11th, 2016 | Filed under: Agriculture, Commodities, Commodities, Farmland, Investing in Commodities, Natural Resources and Land, Newly Added

The popularity of the drip coffee maker is in decline, or at least it has passed its peak.  In 2013. 58% of coffee drinkers had used such a coffee maker on the day before the day they were asked, that is, “yesterday.” That number was down to 54% in 2014,Read More


Commodities: Catching a Falling Knife on the High Seas

Jan 5th, 2016 | Filed under: Commodities, Commodities: Examples, Energy, Equity Hedge Funds, Hedge Funds, Newly Added, oil

The problem with a Star Bulk play or with analogous plays in the equity of dry bulk shippers is that the bottom of this bargain basement may not yet have been found. The problem behind the problem is China, which has fallen out of love with imported coal. Read More


Emerging Markets in 2016: Making Necessary Distinctions

Jan 3rd, 2016 | Filed under: Currencies, Emerging markets, Finance & Economics, Newly Added, The Global Economy & Currencies

The present depressed state of commodity prices spells continued trouble for those companies that export said commodities, but also spells opportunity for those that import and make use of them. Some thoughts from Neuberger Berman, with an addendum from BlackRock. Read More


CFTC Exempts ASX Clear from DCO Registration

Aug 25th, 2015 | Filed under: Alpha Hunters, Alpha Seekers, Commodities, Hedge Fund Industry Trends

The CFTC has issued its first exemption from the CDO registration mandate under 5b (h). The successful petition for that exemption, from ASX Clear, has the additional merit of having inspired an idiosyncratic seeming, but concise, comment letter, quoted in full here. Read More


Study Says The Gold Bugs are Right

Aug 23rd, 2015 | Filed under: Currencies, Forex, Gold, Hard metals, Risk management

Gold seems, to a larger extent than silver, and even more so to an extent larger than is true for palladium or platinum, to work as a true financial asset: decoupled from price developments in the commodity markets. It succeeds as a hedge against currency and stock-market trouble.Read More


Eurekahedge: The Markets are Reading the Headlines

Aug 18th, 2015 | Filed under: Alpha Seekers, Alpha Strategies, Commodities, CTA, Currencies, Hedge Fund Strategies

In the three month period that ends with July, Eurekahedge’s Greater China Index (which has 85 constituents) is down 9.39%. That has come about for precisely the reasons that a reader of the pertinent headlines would guess. Read More


Commodities & Currencies From May to August: How Much Has Changed

Aug 12th, 2015 | Filed under: Commodities, Currencies, Insolvency

What a difference a summer makes! In May of this year it was still taken for granted that the "normalization" of Federal Reserve policy and so of U.S. interest rates approached. Now, that cannot even remotely be taken for granted.Read More


The Core Satellite Model: How to Cut Hedge Fund Fees in Half Part II

Jun 25th, 2015 | Filed under: Alpha Hunters, Alpha Seekers, Alpha Strategies, Fees, Hedge Fund Industry Trends, Performance, Analytics & Metrics

Andrew Beer continues his discussion on slashing hedge fund fees without burning yourself or your clients.Read More


Vindication for Pirrong and Irwin: Why Are Trafigura’s Profits Up?

Jun 22nd, 2015 | Filed under: Commodities, Derivatives, Indexes, Media Coverage of Hedge Funds

Trafigura has done quite well from the decline in crude oil prices in recent months. So well, in fact, as to throw a harsh light on a story that appeared in The New York Times in December 2013. Read More


Mladina on Peeling the Onion: Looking for Idiosyncratic Skill

Jun 21st, 2015 | Filed under: Currencies, Emerging markets, Indexes, Performance, Analytics & Metrics

Factor models will evolve as researchers untangle what value is to be attributed to what factor. Model selection, then, has to remain flexible to keep pace with such research, and must of course remain useful for the investment decision makers. Read More


Are CTAs mumbo jumbo or additive for a diversified hedge fund portfolio?

Jun 9th, 2015 | Filed under: Commodities, Hedge Fund Industry Trends, Hedge Fund Strategies

Guest columnist Don Steinbrugge looks at the value of trend-following CTAs in a portfolio.Read More


Eurekahedge: Europe-Focused Managers Took Hits in July

Aug 20th, 2014 | Filed under: Emerging markets, Performance, Analytics & Metrics

Banco Espirito Santo, and its CEO Salgado, had emerged from an earlier round of crisis (way back in 2012) with a roseate smell. Their latest smell ... not so good. Read More


The Good, the Bad, and the Onions: Part Two

Dec 11th, 2012 | Filed under: Commodities

A speaker from the DG Internal Market and Services, EC, Jasper Jorritsma, knew that he was in the midst of a group, both on the panel and in the broader audience, that was largely skeptical of much of what is involved in MiFID II. Indeed, he seemed to relish a sort of Daniel-in-the-lion's-Den role.Read More


After Peregrine: Examining the Logical Space for SROs

Aug 21st, 2012 | Filed under: Commodities

The Senate committee's witnesses on August 1 included Gary Gensler, chairman of the Commodity Futures Trading Commission, Dan Roth, president and CEO of the National Futures Association, Ira Bodenstein, chapter 7 Trustee of Peregrine Financial, and Walt Lukken, president and CEO of the Futures Industry Association. Read More


Citi: Systematic Component in CTAs Dominate over Discretionary Bits

Jul 24th, 2012 | Filed under: Algorithmic and high-frequency trading, Commodities, CTA

There has been a perhaps-unexpected consequence of the disappearance of the old-fashioned floor traders. Floor trading used to serve as a training regimen, "from which many of the industry's leading discretionary traders originated." Without the floors, the talent pool has dried up.Read More


Cotton and Tin: Spots and Futures

Jul 11th, 2012 | Filed under: Commodities

It is this backwardation, then, that is the normal situation on Keynes’ view, and the contrary situation (“contango” as it has come to be called), the one in which futures prices are higher than, and over the life of the contract decline toward, the spot price, is extraordinary. Nonetheless, contango happens. Indeed, it happens sufficiently often to have inspired a contrary theory, the theory of storage.Read More


Alpha Hunters: Looking at Alternative Investments From the Inside Out

Jun 7th, 2012 | Filed under: Alpha Hunters, Alpha Strategies, CTA, Derivatives, Forex, Hedge Fund Industry Trends, Hedge Fund Strategies, Institutional Investing, Private Equity, Real Estate, Venture capital

A deeper look at alternatives with Dr. Bob Swarup, a world-renowned expert and commentator on alternatives and financial markets as well as being a visiting fellow at London School of Economics.Read More


Of Falling Risks and Indexes

May 1st, 2012 | Filed under: Commodities, Indexes, Risk management

Any quantitative strategy is susceptible to being reduced to an index, and along with this, to transparency and routine. Once this happens, that "alpha" becomes "beta," and the 2 + 20 fees are no longer available. A manager in search of alpha will have to move beyond that strategy, peeling away that layer of the onion and going to a deeper, not-yet-indexable, strategy. Read More


A Paradox: Avoid Correlation by Following the Trends

Apr 2nd, 2012 | Filed under: Commodities, CTA, Institutional Investing

According to its advocates, trend following as a strategy works from the premise that price trends represent a process of consensus building. As a new idea takes hold, "the earliest adopters of this idea place their trades in accordance with it" and they get to watch in satisfaction as "a growing mass of market participants adopts the same thesis. Early adopters can surf the wave to the beach.Read More


The Great Gasoline Trade Behind Pump Prices

Mar 27th, 2012 | Filed under: Alpha Strategies, Commodities

Futures tell the future, at least as it relates to gas pump prices. Read More


Algo Trading: Life in the Cross-Hairs

Mar 8th, 2012 | Filed under: Algorithmic and high-frequency trading, Hedge Fund Regulation

Three lawyers with Covington & Burlington write about the new intensified scrutiny to which regulators are subjecting algorihtmic and high frequency trading. They place it in the context of an old dispute over what constitutes market manipulation. According to the broadest view, if a trader's 'sole intent' in making even a quite ordinary buy or sell order is to move the price, then the resulting trade is market manipulation.Read More


Final CFTC Rule Limits Registration Exemptions for Commodity Pools

Mar 6th, 2012 | Filed under: Commodities, CTA, Hedge Fund Regulation

With the enactment of the Dodd-Frank Act (more formally the Wall Street Reform and Consumer Protection Act) in 2010, Congress demanded change. It did not specifically demand changes in the rules relating to CPOs, but it did demand that the SEC change certain rules regarding hedge fund advisors, and the CFTC has decided that a reconsideration of the CPO rules is “consistent with the tenor of the provisions” of that act because the “sources of risk delineated in the Dodd-Frank Act with respect to private funds are also presented by commodity pools.”Read More


Alix Capital: Market Neutral Up, Fixed Income Down

Feb 29th, 2012 | Filed under:

After a survey of recipients of the UCITS Alternative Index, the UAI Industry Survey Q1 2012, Alix Capital reports that majorities expressed satisfaction with the current level of allocation for certain strategies: commodities, emerging markets, forex, and macro global strategies. But there was a lot of interest in increasing allocations to CTAs, equity market neutral, and volatility-based strategies. The strategy that receives the largest negative response (largest intended reduction in portfolio allocation) is fixed income. Read More


Looking at an Ink Blot, Seeing a Green Light

Sep 26th, 2011 | Filed under: Commodities

International Monetary Fund research shows that speculation does not influence the commodities markets.Read More


Elephant in the Room: Washington’s giant hedge fund.

Feb 24th, 2010 | Filed under: Hedge Fund Industry Trends

Strain really hard and the IMF's recent announcements on commodities and gold almost appear as if they're talking up the markets ahead of deploying some sort of massive carry trade. Read More


Global macro trend is your friend, alternative investors say

Feb 22nd, 2010 | Filed under: Hedge Fund Industry Trends

The latest quarterly survey of alternatives investors from Brighton House Associates is chock full of good news. So what's the bad news?Read More