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Commodity Portfolio Management Research & Reports

Alternative Investment Survey Identifies Investor Expectations for 2013

London, 26 February 2013

Deutsche Bank announced the results of its eleventh annual Alternative Investor Survey, the largest and longest standing hedge fund investor survey with over 300 investor entities worldwide managing more than $1.2 trillion in hedge fund assets participating. This represents more than half the entire market by assets under management (AuM).

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Gold mitigates foreign-exchange risk when investing in emerging markets

London, 31 January 2013

Investors in emerging market assets can use gold to reduce the risks associated with exchange-rate volatility and benefit from significant cost efficiencies, according to a new report from the World Gold Council. Exchange-rate risk is a serious and increasingly relevant issue as investors in the US and other developed economies look beyond their domestic markets to diversify their portfolios and pursue opportunities for greater returns.

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The Dow Jones-UBS Commodity Index ended the year down 1.14%

London, January 2013

The Dow Jones-UBS Commodity Index ended the year down 1.14%. The three most significant downside performing single commodity indices in 2012 were coffee, natural gas and orange juice, which ended the year down 41.64%, 30.70%, and 26.07%, respectively. Coffee prices lost ground on expectations of a stronger crop. The International Coffee Organization (ICO) forecast an 8.4% increase in the world coffee harvest in 2012-13 to 146m tonnes.

Read more: The Dow Jones-UBS Commodity Index ended the year down 1.14%

Bridging the Gap in Asset Risk Management

London, 11 October 2012

Most energy trading and risk management (ETRM) systems have applied concepts and models that were originally developed on Wall Street. These useful tools manage risks associated with financial products or even physical commodities prior to actual delivery/generation, and are capable of providing a forward-looking view into, and helping to manage, out-months portfolio risks in terms of standard financial instruments.

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FIA EPTA welcomes Foresight working paper

Brussles, 31 August 2012

FIA European Principal Traders Association welcomes the conclusions of a UK government-commissioned study that EU proposals aimed at curbing automated trading could have a negative impact on the European economy. The Foresight project’s working paper on the review of the Markets in Financial Instruments Directive shares many of  FIA EPTA’s concerns about the proposed legislation, particularly regarding market-making obligations, order-to-trade ratios and minimum order resting times.

Read more: FIA EPTA welcomes Foresight working paper

An Undue Influence on Energy Markets

London, July 2012

Justin Bozzino: Too often, when high prices or market inefficiencies emerge in crude oil markets, “speculative influences” are blamed. My colleagues have written many times on why these arguments are fallacies – most recently here and here. Rather than heaping blame on “speculators” for market dislocations, lawmakers might want to consider the unintended consequences of policymaking.

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Evolving Investment Management Regulation

London, 17 July 2012

In its fourth annual analysis of global financial regulations, KPMG, the audit, tax and advisory firm, says investment managers continue to face daunting challenges brought on by a changing global regulatory environment, which is fraught with unanswered questions and an array of differing rules in each region.

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New methods for assessing hedge fund performance

 

London, 13 July 2012

In a newly-released research publication produced as part of the Newedge research chair on “Advanced Modelling for Alternative Investments,” EDHEC-Risk Institute has evaluated the performance of hedge funds through a non-linear risk adjustment of returns. This methodology is applied to various hedge fund indices as well as to individual hedge funds, considering a set of risk factors including equities, bonds, credit, currencies and commodities.

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Margin requirements for non-centrally-cleared derivatives

London, July 2012

Consultative document: The G20 Leaders agreed in 2011 to add margin requirements on non-centrally-cleared derivatives to the reform programme for OTC derivatives markets. Margin requirements can further mitigate systemic risk in the derivatives markets. In addition, they can encourage standardisation and promote central clearing of derivatives by reflecting the generally higher risk of non-centrally-cleared derivatives. The consultative paper published today lays out a set of high-level principles on margining practices and treatment of collateral, and proposes margin requirements for non-centrally-cleared derivatives.

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Who Sank the Boat?

London, 22 June 2012

EDHEC-Risk Institute Warns against "Speculative" Regulatory Proposals for Commodities Markets in Europe: In a new position paper, EDHEC-Risk Institute responds to a recent report* by Finance Watch on regulatory proposals for commodity derivatives markets in Europe. The paper describes an alternative narrative for what caused the recent commodity price rises and then notes what implications this narrative has for addressing Finance Watch's regulatory proposals.

Read more: Who Sank the Boat?