Investing in Commodities
How Challenges in Commodity Trade Finance are Creating New Investment Opportunities
Dec 6th, 2020 | Filed under: Investing in Commodities, Newly Added, Other Issues in Private Investments, Commodities, Emerging Alternative Investments, Other Topics in Alts
By Annie Yung 2020 certainly has had many challenges across markets, and trade finance has been no exception. Trade finance is critical for global companies for support of operations and to enable the expansion of trade and growth. The COVID-19 pandemic has fueled a growing funding gap and has exposedRead More
Three Sources of Alpha: A Call for Small Manager Investment
Oct 13th, 2020 | Filed under: CAPM / Alpha Theory, Hedge Fund Strategies, CTA, Investing in Commodities, Equity Hedge Funds, Newly Added, Seeding/early-stage, Macro and Managed Futures Funds, Hedge Funds, Commodities, Finance & EconomicsBy Karl Rogers, ACE Capital Investments I recently finished a multi-strategy fund of hedge funds build for an institution where I focused on three sources of alpha: small manager, equities and commodities. Small Manager Alpha Given that “small” managers have been found to outperform their larger peers[1], why do manyRead More
The Coming Oil Crisis
Aug 13th, 2020 | Filed under: Commodities, Newly Added, oil, Commodities: Examples, Energy, Commodities
Excerpted of Goehring & Rozencwajg, Natural Resource Investors We are on the cusp of a global energy crisis. Like most crises, the fundamental causes for this crisis been brewing for several years but have lacked a catalyst to bring them to the attention of the public or to the averageRead More
Oil Prices Went Where?
Apr 26th, 2020 | Filed under: Commodities, Newly Added, oil, Commodities: Examples, The Alts Industry, CommoditiesBy Adam A. Rozencwajg, CFA, Managing Partner, Geohring & Rozencwajg Oil prices joined bond yields in doing the unthinkable: trading at negative levels. In the case of oil, the West Texas Intermediate (WTI) May 2020 contract reached a low of -$40.32 at 2:24 pm before rallying back to finish the day atRead More
Hedge Fund Investors Respond to the Turning of the Business Cycle
Jan 13th, 2020 | Filed under: Hedge Fund Industry Trends, Private Equity, Hedge Fund Strategies, Investing in Commodities, Equity Hedge Funds, Debt Types of Private Equity, Newly Added, Equity Types of Private Equity, Other Issues in Private Investments, The Alts Industry, Hedge Funds, Commodities, Private InvestmentsIt is reasonable to expect that a diversified hedge fund portfolio will make more modest returns in 2020 than it did in 2019, according to Agecroft Partners, which has done its usual January crystal-ball gazing on the new year, looking for the top industry trends and how they may playRead More
Simpler Rules for Commodity Pools
Jan 9th, 2020 | Filed under: Investing in Commodities, Newly Added, Institutional Investing, Regulatory, The Alts Industry, Institutional Asset Management, Family Offices, CommoditiesThe Commodity Futures Trading Commission has changed the rules for the managers of commodity pools. The new regulations, approved in November and published in the Federal Register for Dec. 10, take effect on Thursday, January 9, 2020. Some key points about these changes: They have codified Family Office No-Action Letters,Read More
Commodities:Waiting for a Paradigm Shift
Dec 25th, 2019 | Filed under: Commodities, CTA, Investing in Commodities, Newly Added, The Global Economy & Currencies, The Alts Industry, Macro and Managed Futures Funds, Hedge Funds, Commodities, Finance & EconomicsRay Dalio, in reference to the current financial scene, with its long period of expansion over more than a decade has said, “This set of circumstances is unsustainable and certainly can no longer be pushed…[which] is why I believe that the world is approaching a big paradigm shift.” Dalio hasRead More
The Imminent Demise of the LNG/Crude Oil Link
Dec 19th, 2019 | Filed under: Commodities, Hedge Fund Strategies, Investing in Commodities, Newly Added, oil, Commodities: Examples, Energy, The Alts Industry, Hedge Funds, CommoditiesLiquified natural gas has long been sold through long-term contracts that are benchmarked to the price of crude oil. This makes a certain intuitive sense. The two commodities are in many contexts substitutes, so that one would expect a rise in the prices of one to inspire an echoing riseRead More
Blenheim Closes, Ushering in a New Era in Commodities
Oct 31st, 2019 | Filed under: Hedge Fund Strategies, CTA, Investing in Commodities, Newly Added, The Alts Industry, Macro and Managed Futures Funds, Hedge Funds, CommoditiesWillem Kooyker is folding up his tent at Blenheim Capital, the commodities-focused hedge fund headquartered in an office park in Berkeley Heights, N.J. Kooyker is a legend. In 1981, he went to work at Commodities Corp., Princeton, N.J., where he was a peer of Paul Tudor Jones, Louis Bacon, andRead More
Boone Pickens, A Trailblazer, Passes On
Sep 17th, 2019 | Filed under: Hedge Fund Strategies, Investing in Commodities, Newly Added, Socially responsible investing, Event-Driven Hedge Funds, oil, Alternative energy, Other Issues in Private Investments, Energy, The Alts Industry, Hedge Funds, Commodities, SRI and Clean Energy, Other Topics in AltsT. Boone Pickens died quietly at home in Dallas, Texas on Sept. 11, 2019. In his long career Pickens did a good deal to give the current hedge fund industry, as well as the broader asset management industry and the energy commodities markets, their character, in a life that sometimesRead More
PORTFOLIO PROTECTION VIA MANAGED FUTURES LIQUID ALTS?
Sep 8th, 2019 | Filed under: Commodities, Hedge Fund Strategies, CTA, Investing in Commodities, Newly Added, Alternative Mutual Funds, Liquid Alts, ETFs, The Alts Industry, Macro and Managed Futures Funds, Hedge Funds, Liquid Alternative Investiments, Commodities, Allocating to Alts, Other Topics in AltsBy Nicolas Rabener of FactorResearch (@FactorResearch) INTRODUCTION The mafia and the hedge fund industry share some characteristics. Both are powerful, non-transparent, and create little value for society. Naturally the mafia is a criminal organization while the only “criminal” element of hedge funds are the high fees they are charging forRead More
Is it Time for the Gold Bug to Bite?
Aug 27th, 2019 | Filed under: Commodities, Hard metals, Investing in Commodities, Newly Added, Commodities: Examples, ETFs, The Alts Industry, Gold, CommoditiesDiane Merritt, of the Closed-End Fund Association (CEF) spoke recently with Axel Merk, of Merk Investments, about precious metals as part of a portfolio, and specifically the role these metals can play late in the business cycle: which, according to a rather broad consensus, is where we now are. TheRead More
Oil & Gas: Where is the Capital Flowing?
Jul 7th, 2019 | Filed under: Private Equity, Commodities, Investing in Commodities, Newly Added, Equity Types of Private Equity, oil, Other Issues in Private Investments, The Alts Industry, Commodities, Private InvestmentsThe last two years have seen record low levels of mergers and acquisitions activity in the oil and gas sector in the United States. There are other signs of lassitude in the field: a record low volume of PE deals, (more of that in a moment), and only six initialRead More
Crop Protection and Inputs Management: Growing Investments in AgTech
Jun 20th, 2019 | Filed under: Private Equity, Commodities, Agriculture, Investing in Commodities, Debt Types of Private Equity, Newly Added, Venture capital, Farmland, Equity Types of Private Equity, Natural Resources and Land, Angel investing, The Alts Industry, Commodities, Private InvestmentsThe agricultural sector is under pressure from several directions, including depressed commodity prices, increased regulation, climate change, and changes in consumer tastes. This pressure creates a demand for technological progress, and that in turn creates a market for agtech. Two years ago, Finisterre Ventures and Pitchbook combined their data gatheringRead More
The Value of Speculation Limits, or Lack Thereof
Jun 18th, 2019 | Filed under: Commodities, Derivatives, Newly Added, Commodity Forward Pricing, The Alts Industry, CommoditiesCFTC Commissioner Daniel Berkovitz recently spoke to the FIA Commodities Symposium, in Houston, Texas, about the reduction of systemic risks and the strengthening of market integrity under the Dodd-Frank Act. He gave the usual disclaimer, that the views he expressed in this address were his own not those of theRead More
A HORSE RACE OF LIQUID ALTERNATIVES
Jun 13th, 2019 | Filed under: Hedge Fund Strategies, CTA, Investing in Commodities, Equity Hedge Funds, Newly Added, Liquid Alts, ETFs, The Alts Industry, Macro and Managed Futures Funds, Hedge Funds, Liquid Alternative Investiments, Commodities, Other Topics in AltsBy 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: Commodities, Algorithmic and high-frequency trading, Newly Added, Business News, The Alts Industry, CommoditiesOn 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: Hedge Fund Strategies, Investing in Commodities, Equity Hedge Funds, Newly Added, Socially responsible investing, Event-Driven Hedge Funds, The Global Economy & Currencies, Emerging markets, Alternative energy, Commodities: Examples, Energy, The Alts Industry, Frontier markets, Hedge Funds, Emerging Alternative Investments, SRI and Clean Energy, Other Topics in AltsRenewable 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
Bart Chilton: A Career of Regulating Commodities, Futures and Cheetahs
May 7th, 2019 | Filed under: Commodities, Investing in Commodities, Newly Added, The Alts Industry, CommoditiesBart 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: Commodities, Investing in Commodities, Newly Added, Commodity Forward Pricing, The Alts Industry, CommoditiesOliver 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
Commodities are Beginning to Resemble Equities
Apr 7th, 2019 | Filed under: Commodities, Investing in Commodities, Newly Added, oil, Energy, The Alts Industry, Gold, CommoditiesObservers 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
Green Bonds: The Future of Infrastructure Investing
Feb 24th, 2019 | Filed under: Commodities, Infrastructure, Investing in Commodities, Debt Types of Private Equity, Newly Added, Institutional Investing, Socially responsible investing, Operationally Intensive Real Assets, Climate change, Institutional Asset Management, Hedge Funds, Commodities, Private Investments, Real Assets, SRI and Clean Energy, Other Topics in AltsTwo 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: Investing in Commodities, Financial Economics Theory, Newly Added, The Global Economy & Currencies, Emerging markets, The Alts Industry, Commodities, Finance & EconomicsA 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
Do the Capital Markets Reward Low-Carbon Business Models?
Jan 15th, 2019 | Filed under: Commodities, Investing in Commodities, Newly Added, Socially responsible investing, Natural Resources and Land, oil, Alternative energy, Commodities: Examples, Climate change, The Alts Industry, Commodities, Emerging Alternative Investments, Real Assets, SRI and Clean Energy, Other Topics in AltsA 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: Commodities, Industry Size & Managers, Investing in Commodities, Newly Added, oil, Energy, The Alts Industry, Risk Management Strategies & Processes, Commodities, Risk Management & OperationsA 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: Real Estate, Agriculture, Investing in Commodities, Debt Types of Private Equity, Liquid and Fixed Income Real Estate, Newly Added, Venture capital, Farmland, Equity Types of Private Equity, Natural Resources and Land, Other Issues in Private Investments, The Alts Industry, Real Estate Equity Investments, Commodities, Private Investments, Real AssetsAn 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
Oil Trading and Round Number Effects
Sep 13th, 2018 | Filed under: Investing in Commodities, Financial Economics Theory, Newly Added, Behavioral finance, oil, Commodities: Examples, The Alts Industry, Commodities, Finance & EconomicsThe “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
Volatility Arbitrage and Cross-Border Options
Jul 29th, 2018 | Filed under: Hedge Fund Strategies, Investing in Commodities, Newly Added, Alpha Strategies, Risk management, Macro and Managed Futures Funds, Risk Management Strategies & Processes, Hedge Funds, Commodities, Risk Management & OperationsA 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: Currencies, Investing in Commodities, Financial Economics Theory, Newly Added, The Global Economy & Currencies, Digital currencies, Commodities, Emerging Alternative Investments, Finance & EconomicsCryptocurrencies 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
Using the Variance Risk Premium to Predict Futures Markets
Jul 15th, 2018 | Filed under: Commodities, Hard metals, Newly Added, Risk management, oil, Risk Metrics and Measurement, Commodities: Examples, Energy, Risk Management Strategies & Processes, Gold, CommoditiesA 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: Commodities, Investing in Commodities, Newly Added, Insolvency, Business News, CommoditiesHerbert 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
Oil Price Shocks and Economic Growth
Apr 19th, 2018 | Filed under: Commodities, Investing in Commodities, Newly Added, oil, Commodities: Examples, CommoditiesThe 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
Eurekahedge: Greater China Mandates Pay Off for January
Feb 20th, 2018 | Filed under: Hedge Fund Industry Trends, Commodities, Hedge Fund Strategies, Investing in Commodities, Newly Added, Indexes, oil, Digital currencies, Commodities: Examples, Energy, The Alts Industry, Gold, Hedge Funds, Commodities, Emerging Alternative Investments, Other Topics in AltsA 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: Commodities, Investing in Commodities, Newly Added, Commodities: Examples, Gold, CommoditiesThe 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
AIMA and SGPS on Managed Futures and CTAs
Sep 28th, 2017 | Filed under: Algorithmic and high-frequency trading, CTA, Investing in Commodities, Newly Added, Business News, The Alts Industry, Institutional Asset Management, Macro and Managed Futures Funds, Commodities, Allocating to AltsThe Alternative Investment Management Association and Societe Generale Prime Services have together put out a white paper about managed futures funds and the commodity trading advisers who manage them. A key themes of the paper is that managed futures strategies aren’t as risky as are typical investments in equity markets.Read More
Barnes on Swaps Transparency under MiFID II
Sep 19th, 2017 | Filed under: Investing in Commodities, Newly Added, Operations, Commodities, Structured Products, Risk Management & OperationsA recent blog in the TABB Forum, by Chris Barnes of Clarus Financial Technology, looks at recent developments in the realm of MiFID, and looks forward. The UK’s Financial Conduct Authority in August of this year authorized certain Approved Publication Arrangements (APAs) for reporting under MiFID II. The authorization ofRead More
Below the Black: A Review of Risk Reduction Strategies
Sep 13th, 2017 | Filed under: Commodities, Hedge Fund Strategies, Investing in Commodities, Newly Added, Risk management, Risk Metrics and Measurement, Macro and Managed Futures Funds, Risk Management Strategies & Processes, Hedge Funds, Commodities, Risk Management & OperationsExcerpted from the Alternative Investment Analyst Review, Volume 1, Issue 4 The Alternative Investment Analyst Review is the official publication of the CAIA Association. Access to the most current issue is an exclusive benefit of CAIA Membership while archived issues are available to the public in the Perspectives section atRead More
High-Frequency Trading and Spoofing
Aug 31st, 2017 | Filed under: Algorithmic and high-frequency trading, Investing in Commodities, Newly Added, Business News, Commodities, Risk Management & OperationsSix years ago Michael Coscia placed orders through the CME Group’s Globex platform via a trading algorithm that amounted to “spoofing.” He placed both large and small orders in the copper market, for example, with the large orders (cancelled within milliseconds) designed to create the illusion of market movement inRead More
Til and Heckinger on Commodity Debacles, Part I
Aug 3rd, 2017 | Filed under: Commodities, Investing in Commodities, Newly Added, Commodities: Examples, Energy, CommoditiesA 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: Due Diligence Process, Investing in Commodities, Newly Added, Commodities, Risk Management & OperationsIn 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: Investing in Commodities, Newly Added, ETFs, CommoditiesETF 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: Investing in Commodities, Newly Added, Equity-linked Structured Products, Commodities: Examples, Gold, Commodities, Structured ProductsTwo 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
Dakota Access and the Army Corps of Engineers: An Odd Mistake?
Nov 13th, 2016 | Filed under: Commodities, Infrastructure, Newly Added, oil, Operationally Intensive Real Assets, Commodities: Examples, CommoditiesOn November 7, the U.S. Army Corps of Engineers put out a statement that said that the Dakota Access Pipeline (DAPL) had agreed to halt its controversial ongoing construction in North Dakota. The following day, which happens to have been Election Day, [so non-election news went largely uncovered], the ownersRead More
Massad: Where the U.S. and the World Stand on Margins & Cap Requirements
Oct 27th, 2016 | Filed under: Investing in Commodities, Newly Added, Forex, The Global Economy & Currencies, Commodities, Finance & EconomicsThe chair of the Commodity Futures Trading Commission, Timothy Massad, addressed the Outlook Conference of the Managed Funds Association on October 21, and spoke about the global implementation of uncleared margin rules, which he called a critical component of “the new regulatory framework for swaps trading that the leaders ofRead More
On Aluminum and Other Metals: A Thought on Physicality
Sep 13th, 2016 | Filed under: Hard metals, Investing in Commodities, Newly Added, Business News, Commodities: Examples, Commodities, Finance & EconomicsHong Kong Exchanges and Clearing (HKEx), the company that bought the London Metal Exchange four years ago, has further expansion plans. At a recent event on the commodity markets of East Asia, Charles Li, the CEO of HKEx, spoke on this point. Li wants to create a physical metals tradingRead More
Eurekahedge: Redemptions Exceeding New Investment for HFs Worldwide
Sep 5th, 2016 | Filed under: Commodities, Hard metals, Newly Added, Commodities: Examples, Energy, Hedge Funds, Relative Value Hedge Funds, CommoditiesHedge funds have now seen three consecutive months in which redemptions have exceeded new investment, for a net outflow. The net outflow for July alone was $5.7 billion. Fortunately, July also saw performance based gains of $10.5 billion, so the total assets under management grew slightly. The table below adaptedRead More
The Shale/Fracking Revolution: 1998 to 2011
Aug 23rd, 2016 | Filed under: Commodities, Investing in Commodities, Newly Added, oil, Commodities: Examples, CommoditiesA critical revolution in the crude oil and natural gas markets began 18 years ago. Gary Sernovitz, who has given the world his thoughts on this revolution in the new book The Green and the Black, has had some convenient seats whence to observe, most recently as a managing directorRead More
Headline vs. Core Inflation: We Shouldn’t Have Laughed
Aug 4th, 2016 | Filed under: Investing in Commodities, Newly Added, Hedge Funds, Commodities, Structure of the Hedge Funds IndustryI’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
Volatility Spillover Effects: India, Korea, China
Jul 21st, 2016 | Filed under: Currencies, Investing in Commodities, Newly Added, The Global Economy & Currencies, Commodities, Finance & EconomicsLast year, two scholars writing in the Journal of Alternative Investments looked at the volatility spillover effects in the Chinese stock index futures and spot markets. The question for them was whether there is spillover from spot markets into futures markets and back. I propose to give you their answer,Read More
Factor-Based Asset Allocation
Jun 19th, 2016 | Filed under: Alpha & Beta, Investing in Commodities, Newly Added, Asset allocation, Asset Allocation Models, Smart Beta, Commodities, Allocating to Alts, Other Topics in AltsA paper by Xiaowei Kang and Daniel Ung, published in June 2014, remains timely because risk parity and related approaches remain the center of controversy and some confusion. The Kang & Ung paper looked at three approaches to risk factor based portfolio construction, studying specifically the practical aspects of theRead More