Browsing: Commodities & Natural Resources

Commodities & Natural Resources

A HORSE RACE OF LIQUID ALTERNATIVES

Jun 13th, 2019 | Filed under: State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Hedge Funds, Commodities & Natural Resources

By Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION Investing is challenging as it is complex and complicated, which requires continuous learning and updating of mental frameworks. Conflicts and contradictions are found everywhere. For example, data from the mutual fund industry shows that most funds fail to outperform their benchmarks, but investors inRead More


ICE Futures Gets Its Speed Bump

Jun 4th, 2019 | Filed under: Data Science & AI, State of the Industry, Newly Added, Asset Allocation, Commodities & Natural Resources

On Feb. 1, ICE Futures US Inc., informed the Commodity Futures Trading Commission that it was instituting a new “speed bump,” formally called the Passive Order Protection (or POP) Functionality for its gold daily and silver daily futures markets. The idea of POP is to limit the advantage that canRead More


The Two Faces of Investing in Renewables

May 27th, 2019 | Filed under: Emerging Asset Classes, State of the Industry, Featured Post, Newly Added, Asset Allocation, ESG, Hedge Funds, Commodities & Natural Resources

Renewable energy, however defined, is widely seen as a sustainable and socially responsible (and, if the investing is done right, very profitable) addition to one’s portfolio. Indeed, such entities as the Institute for Energy Economics and Financial Analysis, an Ohio based research-and-analysis shop, exist to show that renewables are theRead More


A Fintech Revolution in Commercial Real Estate

May 9th, 2019 | Filed under: Data Science & AI, State of the Industry, Featured Post, Real Estate, Newly Added, Commodities & Natural Resources

Cushman & Wakefield, Chicago, has released a discussion of blockchains in connection with real estate. The paper argues that the technology could “transform CRE transactions ranging from property listings, asset management, and the purchase and sale of properties.” It reminds us that blockchains are shared digital ledgers, both tamper-proof andRead More


Bart Chilton: A Career of Regulating Commodities, Futures and Cheetahs

May 7th, 2019 | Filed under: State of the Industry, Featured Post, Newly Added, Commodities & Natural Resources

Bart Chilton, a senior adviser at DLA Piper who was from 2007 to 2014 a Commissioner of the Commodity Futures Trading Commission, passed away April 27. Chilton had a colorful reputation in the largely grey-hued world of commodities regulation. President George W. Bush appointed Chilton to the CFTC at aRead More


Backwards to the Future

Apr 16th, 2019 | Filed under: State of the Industry, Featured Post, Newly Added, Commodities & Natural Resources

Oliver Wyman, the international consulting group, has posted a white paper about commodity trading in the face of the “relentless erosion in trading margins” since 2014. The paper estimates, moreover, that margins will continue to decline for at least the next five years because commodity markets will continue to becomeRead More


The Illiquidity Premium and the Market for Private Assets

Apr 14th, 2019 | Filed under: State of the Industry, Featured Post, Real Estate, Private Equity, Private Debt, Newly Added, Asset Allocation, Commodities & Natural Resources

The illiquidity premium is one of the most frequently discussed and hotly disputed subjects in financial economics. Speaking broadly, an investment is not a checking account. One generally cannot just “get the cash back” at a moment’s notice, by visiting some equivalent of an ATM. How long will it takeRead More


Striking the Right Balance: Investing in Real Assets

Apr 11th, 2019 | Filed under: State of the Industry, Featured Post, Real Estate, Infrastructure, Newly Added, Commodities & Natural Resources

In creating the real assets portion of a portfolio, investors should consider several risk factors, such as the sensitivity of certain assets to inflation, interest rate changes (duration risk), or the continued availability of finance (illiquidity risk). In a recent publication, Mercer, the world’s largest institutional investment advisor, explains howRead More


Commodities are Beginning to Resemble Equities

Apr 7th, 2019 | Filed under: State of the Industry, Featured Post, Newly Added, Commodities & Natural Resources

Observers have long noticed that the relationship between return shocks and equity price volatility is asymmetric. That is, positive shocks do not have a marked effect on volatility; negative shocks do. Fischer Black wrote on the subject more than 40 years ago. Recently there has been a good deal ofRead More


Alternative Real Estate Shows Attractively

Mar 28th, 2019 | Filed under: State of the Industry, Featured Post, Real Estate, Newly Added, Commodities & Natural Resources

PricewaterhouseCoopers, the London-based professional services network, in conjunction with the Urban Land Institute, has prepared a report on ongoing trends in real estate, which sheds some light on the attractions of alternative real estate. The background to the report is the continued and intensifying consensus that a recession is nigh,Read More


Pension Funds Not Quite Swamped by ‘Grey Tsunami’

Mar 5th, 2019 | Filed under: State of the Industry, Featured Post, Real Estate, Private Equity, Infrastructure, Private Debt, Newly Added, Asset Allocation, Hedge Funds, Commodities & Natural Resources

A recent study of public employee retirement systems in the United States reaches conclusions, that, after a fair amount of “grey tsunami” alarmism in recent years, sound reassuring. The study, based on a recent survey of system managements conducted by the National Conference of Public Employee Retirement Systems (NCPERS) inRead More


Green Bonds: The Future of Infrastructure Investing

Feb 24th, 2019 | Filed under: State of the Industry, Featured Post, Infrastructure, Private Debt, Newly Added, ESG, Hedge Funds, Commodities & Natural Resources

Two scholars affiliated with the Centre for International Governance Innovation, Waterloo, Canada, have taken a look at the future of green bonds, that is, bonds whose proceeds are employed to fund environmental initiatives. The paper, by Olaf Weber and Vasundhara Saravade, begins with a guesstimate as to the amount ofRead More


Alpha: The Rise of the Middle Class in Emerging Markets

Feb 21st, 2019 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation, Commodities & Natural Resources

A new paper from State Street Global Advisors takes a sociological approach to the search for alpha in emerging market nations. It contends that the “major theme for growth” in the emerging markets moving forward will be “based on the rise of the middle class and rising consumption in theseRead More


A Proposed Model for VIX Derivatives Pricing

Feb 14th, 2019 | Filed under: State of the Industry, Featured Post, Newly Added, Hedge Funds, Commodities & Natural Resources

The VIX may be about to get some competition. VIX is the “fear gauge,” the very visible measure of expected price fluctuations in the S&P 500 index options. On the foundation of its popularity, CBOE has built a monopoly on exchange-traded volatility products. VIX derivatives have become among the mostRead More


How Public Pension Funds are Subsidizing Infrastructure

Jan 29th, 2019 | Filed under: State of the Industry, Featured Post, Infrastructure, Newly Added, Asset Allocation, ESG, Commodities & Natural Resources

Public pension funds in the United States invest in infrastructure. Unfortunately, they aren’t very good at it. A recent working paper of the NBER concludes, indeed, that public pensions are so bad at such investments that they—and thus either the public or its retirees or both—are unwittingly subsidizing infrastructure projects.Read More


Do the Capital Markets Reward Low-Carbon Business Models?

Jan 15th, 2019 | Filed under: Emerging Asset Classes, State of the Industry, Featured Post, Newly Added, ESG, Commodities & Natural Resources

A new study by two scholars, an American and an Italian, presents evidence that financial markets are pricing the risk of reliance upon carbon, penalizing carbon-intensive assets and rewarding low-carbon assets. Irene Monasterolo and Luca de Angelis, respectively of Boston University and the University of Bologna, begin with the ParisRead More


Financialization and the Volatility of Commodity Prices

Dec 20th, 2018 | Filed under: State of the Industry, Manager Selection, Newly Added, Risk Management, Commodities & Natural Resources

A recent article in the Journal of Risk and Financial Management  takes a fresh look at a familiar issue:  whether the development of exchange-traded funds (ETFs) and related instruments tracking the commodities industry (or, in short, the financialization of commodities) has had an impact on the volatility of the pricesRead More


Agtech: Comfort Zones and Value Chains

Dec 11th, 2018 | Filed under: State of the Industry, Featured Post, Real Estate, Private Equity, Private Debt, Newly Added, Commodities & Natural Resources

An agtech-focused venture firm has issued a report about global VC activity across agtech and its subsectors. The firm, Finistere Ventures, which describes itself as in the business of helping “ambitious founders transform food and agriculture,” collaborated with Pitchbook in preparing the review. Finistere looks specifically at: (a) macro trends,Read More


A Preqin Prequel? 

Nov 5th, 2018 | Filed under: State of the Industry, Manager Selection, Newly Added, Asset Allocation, What About Beta?, Commodities & Natural Resources

By Bill Kelly, CEO, CAIA Association In the world of cinema, by most accounts, it is The Godfather Part II that holds the top spot for best movie prequel. Interestingly, by design and title, it is also a sequel. Sequels at the box office are often panned but this production wasRead More


National Market System: What to End; What to Mend

Oct 14th, 2018 | Filed under: Data Science & AI, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Commodities & Natural Resources

The Principal Traders Group of the Futures Industry Association (FIA PTG) recently offered its thoughts on market structure, outlining one direction of reform for the Securities and Exchange Commission’s Reg NMS. Reg NMS (National Market System) was promulgated in 2005, in order to ensure competition among markets, and in theRead More


Pensions and Real Estate: CEM Benchmarking

Oct 11th, 2018 | Filed under: State of the Industry, Featured Post, Real Estate, Newly Added, Asset Allocation, Commodities & Natural Resources

A new paper by Alexander D. Beath and Chris Flynn examines the significance of real estate investing within the portfolios of large European institutional investors from 2005 to 2016. Beath is a senior research analyst with CEM Benchmarking, with a PHD. from McGill University on condensed matter and materials physics.Read More


Intralinks/Global Fund Media Survey of LPs Shows Satisfaction

Sep 25th, 2018 | Filed under: State of the Industry, Featured Post, Real Estate, Private Equity, Private Debt, Newly Added, Asset Allocation, Hedge Funds, Commodities & Natural Resources

Intralinks has once again collaborated with Global Fund Media in a survey of limited partners on their satisfaction with recent results and on how they see global investment opportunities near-term. As to satisfaction: 18% of LPs say that their results from alternative investments have been better than they expected. ARead More


The View from Las Vegas: Quiet Buying? Aggressive Buying?

Sep 23rd, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Commodities & Natural Resources

On Sept. 24, the 9th Annual Inside Alternatives and Asset Allocation event convenes at Wynn Las Vegas, with CAIA sponsorship. The purpose of the event: to look beyond traditional alternative investments and strategies, to take the measure of a new breed of alternatives, including impact/SRIs, cryptocurrencies, and the application ofRead More


Oil Trading and Round Number Effects

Sep 13th, 2018 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation, Commodities & Natural Resources

The “round number effect” is an endless source of fascination in the worlds of both trading and statistics. Human brains, after all, tend to think in round numbers. A market pundit on television may say, “If the price of stock XYZ gets below $8.00, it’ll be worth buying.” He won’tRead More


The Connection between Audit Fees and Derivative Hedging

Sep 11th, 2018 | Filed under: State of the Industry, Featured Post, Newly Added, Risk Management, Hedge Funds, Commodities & Natural Resources

It is generally acknowledged that there exists a positive association between business risk and audit fees. There is room for dispute as to what that means. On the one hand, the riskier clients for whom an audit firm works might simply be the ones that have the most complicated books,Read More


Hedging or Trading? Why Italian Banks Use Derivatives

Aug 23rd, 2018 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation, Risk Management, Hedge Funds, Commodities & Natural Resources

A recent report by the Bank of Italy looks at why the various banks of Italy use derivatives. Specifically, the central bank of that country wanted to know: is it a matter of hedging? Or is it a matter of keeping a proprietary book? Hedge fund managers and other pursuersRead More


Agtech Investment and the Future of Food

Aug 14th, 2018 | Filed under: State of the Industry, Featured Post, Private Equity, Newly Added, Commodities & Natural Resources

Finistere Ventures, a venture capital firm that describes itself as in the business of helping “ambitious founders transform food and agriculture,” has teamed up with Pitchbook to produce a dataset that would enable “clear insights into financing activity and metrics in the agtech sector.” The result was the Agtech InvestmentRead More


Hedge Funds Arms Race for Alpha

Aug 10th, 2018 | Filed under: State of the Industry, Manager Selection, Newly Added, Hedge Funds, Commodities & Natural Resources

By Don Steinbrugge It is no secret that the vast majority of investors, including hedge funds managers, have underperformed market indices over time. However, some managers have distinguished themselves generating very strong risk adjusted returns. Outperforming an index requires an information advantage over what is broadly available in market.  ItRead More


New SEC Commissioner Dissents on a Bitcoin ETF

Aug 9th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Commodities & Natural Resources

The U.S. Securities and Exchange Commission recently (on July 26) disapproved of proposed rules changes that would have greenlit listing of the Winklevoss Bitcoin Trust on the Bats BZX Exchange.  In essence, the SEC has now rejected the listing of a Bitcoin exchange-traded product (ETP) on a national exchange. TheRead More


Volatility Arbitrage and Cross-Border Options

Jul 29th, 2018 | Filed under: Featured Post, Newly Added, Risk Management, Hedge Funds, Commodities & Natural Resources

A new paper, by Adriano Tosi, of the University of Zurich, Switzerland, looks at the mispricing of a cross-section of international option returns, which suggests that there is money to be made (in more decorous language a “positive risk premium” may be “commanded,”) by selling exchange-traded products and buying theRead More


Centralized Exchanges and Cryptocurrencies

Jul 26th, 2018 | Filed under: Emerging Asset Classes, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Commodities & Natural Resources

Cryptocurrencies are increasingly traded on centralized exchanges, such as Gemini and Coinbase. This fact itself has generated some resentment in the crypto world, because the very idea of  centralized exchange seems to violate the original anarchic animating spirit of the cryptocurrencies, even of “Satoshi” himself. Vitalik Buterin, who as the creatorRead More


BarclayHedge Numbers Show Cryptocurrency Dive

Jul 19th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Hedge Funds, Commodities & Natural Resources

BarclayHedge says that its flash estimate for the Barclay CTA Index shows a 0.05% loss in June, and a 2% loss year to date. More remarkably, the flash estimate shows a 16.23% drop in June and a 45.43% drop YTD for the CryptoCurrency Traders Index. The founder and president ofRead More


Using the Variance Risk Premium to Predict Futures Markets

Jul 15th, 2018 | Filed under: Featured Post, Newly Added, Risk Management, Commodities & Natural Resources

A new study of volatility in commodity prices indicates that both the total and the decomposed variance risk premiums of at least certain commodities markets contain information with predictive power. The variance risk premium is the pay-off of the synthetic variance swap contract. Specifically, it’s the difference between the floatingRead More


Stein’s Law and Rising Production Costs

Jun 26th, 2018 | Filed under: Featured Post, Newly Added, Asset Allocation, Commodities & Natural Resources

Herbert Stein, who was President Richard Nixon’s chairman of the Counsel of Economic Advisors, is often quoted as saying, “If something cannot go on forever, it will stop.” This statement, known as “Stein’s Law,” has the right ring of profundity about it, a mixture of tautology and empirically verifiable generalization.Read More


Crumbling infrastructure offers mid-market investment opportunities

Jun 3rd, 2018 | Filed under: Featured Post, Infrastructure, Newly Added, ESG, Commodities & Natural Resources

Deteriorating infrastructure and potential for investment is the topic of a new white paper by Fiera Capital, a Canadian investment management firm. Infrastructure is generally understood to involve physical assets that provide a public service, including those most vital to economic development. The category includes water and waste-water systems, highwaysRead More


KPMG on Real Estate Funds

May 17th, 2018 | Filed under: Featured Post, Real Estate, Newly Added, Risk Management, Commodities & Natural Resources

The outsourcing of fund administration tasks in real estate is not a new idea. But, as KPMG says in a new paper, the marketplace has been slow to take the administrators up on their offerings.  So it may still be the wave of the future even though it has aRead More


The CBOE and VIX: The Appearance of Manipulation

May 6th, 2018 | Filed under: Featured Post, Newly Added, Asset Allocation, Commodities & Natural Resources

On April 23, 2018, the chairman and the president of the Chicago Board Options Exchange issued an open letter to address concerns that the CBOE Volatility Index (VIX) is subject to manipulation. There were at least two incitements behind this letter. First, its authors, Chairman Ed Tilly and President ChrisRead More


What Constitutes Price Manipulation?

Apr 24th, 2018 | Filed under: State of the Industry, Access to Alternatives, Featured Post, Newly Added, Commodities & Natural Resources

The two commissions that serve as market enforcers in the United States, the Commodity Futures Exchange Commission and the Securities Exchange Commission, agree on a lot. (As, indeed, one would hope, since their work has considerable overlap.) One of the points on which the commissions have general agreement is theRead More


Oil Price Shocks and Economic Growth

Apr 19th, 2018 | Filed under: Featured Post, Newly Added, Commodities & Natural Resources

The U.S. is withdrawing from a multilateral agreement with Iran that was aimed at dissuading the Iranian regime from further progress toward nuclearization. In the meantime, the U.S. and its allies have bombed Syria in retaliation for that country’s chemical attacks on its people, and a shake-up in the topRead More


The Realities of Real Assets

Apr 3rd, 2018 | Filed under: Featured Post, Real Estate, Newly Added, Commodities & Natural Resources

A London-headquartered specialist consultant, bFinance, has prepared a report on the trends that have emerged over the last decade in the way both investors and managers think about the real assets in portfolios. There are, the paper says, three trends at work. First, investors are becoming both more sophisticated andRead More


Eurekahedge: Greater China Mandates Pay Off for January

Feb 20th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Hedge Funds, Commodities & Natural Resources

A new Index Flash Update from Eurekahedge says that hedge funds are off to a positive start to 2018. The industry globally gained 2.26% in January. Among developed world mandates, North American hedge funds were up 1.89%, followed by those of Japan and Europe, which gained 1.28% each. Higher numbersRead More


Gold as a Strategic Asset

Feb 11th, 2018 | Filed under: Featured Post, Newly Added, Commodities & Natural Resources

The World Gold Council has recently posted its analysis of the continued relevance of gold. As one might expect from the source, the WGC finds that gold is a strategic asset that can play several valuable roles in a portfolio. Toward this end, the paper offers a chart of gold’sRead More


Ceres Report Evaluates Value of Early-Stage Clean Energy

Feb 4th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Featured Post, Private Equity, Newly Added, ESG, Commodities & Natural Resources

A recent publication from Ceres, a nonprofit organization devoted to promoting sustainability as a goal in both investing and corporate governance, looks at the value that early-stage clean energy products offer venture capitalists. The publication is the work of a team of five “lead authors and key contributors,” including threeRead More


What CTAs Think about Bitcoin Futures

Jan 25th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Access to Alternatives, Featured Post, Newly Added, Asset Allocation, Hedge Funds, Commodities & Natural Resources

A new BarclayHedge study indicates that the majority of commodity trading advisers surveyed are unenthusiastic about the new Bitcoin futures. Specifically, asked “do you consider Bitcoin futures to be a valuable/useful addition to a diversified futures portfolio?” nearly three quarters (73%) said “no.” The sample for this survey included firmsRead More


KPMG’s Report Cards on Real Assets

Jan 23rd, 2018 | Filed under: State of the Industry, Featured Post, Real Estate, Infrastructure, Newly Added, Commodities & Natural Resources

KPMG has posted a new paper looking at the role of real assets (defined as “anything where there is a tangible/physical asset being traded”) within a portfolio, with a focus on opportunities for U.K. based institutional investors, especially pension schemes. It begins with a brief survey of the field. RealRead More


Aquila Asks: Who’s Afraid of Pricey Markets?

Jan 18th, 2018 | Filed under: Featured Post, Newly Added, Asset Allocation, Commodities & Natural Resources

A new paper from Aquila Capital Group looks at managed futures, and makes the case that they offer investments tools with which one can achieve a “robust and diversifying risk/return profile.” The paper begins with the concerns many investors have at present. Record long bull markets, high asset prices, andRead More


Searching for the Right Infrastructure Manager: 3 Case Studies

Jan 14th, 2018 | Filed under: State of the Industry, Featured Post, Infrastructure, Newly Added, Asset Allocation, Commodities & Natural Resources

A new paper from bfinance (an independent financial services consultancy headquartered in London) discusses the “dramatically different era” into which infrastructure investing has entered over the last two years. The paper, “DNA of a Manager Search: Infrastructure,” looks at three recent unlisted infrastructure searches, in order to glean some insightRead More


A Proposal for a Monthly Art Market Index

Jan 9th, 2018 | Filed under: Emerging Asset Classes, State of the Industry, Featured Post, Newly Added, Commodities & Natural Resources

It has long been understood that ownership of works of art isn’t just a collection or a hobby, or a way to brighten up the walls of one’s home. It’s a portfolio decision. But it is a portfolio decision that involves non-fungible and very infrequently traded assets.  So: how doesRead More


Top 5 Alpha Stories of 2017

Dec 31st, 2017 | Filed under: State of the Industry, Featured Post, Newly Added, Asset Allocation, Commodities & Natural Resources

In surveying this year for dramatic alpha-related stories, we have much whence to choose. This was the year in which the Murdoch family announced its intention to sell some of their highest value holdings to Disney. Also, in 2017 the EQT Rice merger (contested, unsuccessfully, by one prominent hedge fundRead More


Around the World with a Timberland Outlook

Dec 7th, 2017 | Filed under: Featured Post, Newly Added, ESG, Commodities & Natural Resources

New Forests, an Australia-based investment manager focusing on strategies in forestry, land management, and conservation, has published its 2017 Timberland Investment Outlook. This paper begins with the observation that institutional investment in timberland now amounts to more than $100 billion. This makes it still a “relatively small” asset class, butRead More