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Managed Commodities - Dynamic Risk-Overlays for Commodity Investments

posted Jan 29, 2019, 1:58 AM by Felix Fernandez   [ updated Jan 29, 2019, 2:00 AM ]
Commodities are an important asset class and, in many cases, a relevant component within investor portfolios. However, due to the highly volatile nature of this asset class, the portfolio integration of unmanaged commodities with traditional approaches can be a challenge.
In this paper, we suggest considering commodities in combination with a dynamic risk overlay, which improves the risk/return profiles significantly. 

Therefore, we introduce: “Managed Commodities”

The benefits of applying a dynamic risk management are substantial:

1. The 50% percent passive hedge benchmark can be outperformed.
2. More importantly, the risk adjusted returns are improved and the drawdowns can be reduced as well.

This material has been prepared for informational purposes only and it is not intended to be and should not be considered as an offer, or a solicitation of an offer, or an invitation or a personal recommendation to buy or sell any financial instrument, or to participate in any investment strategy, directly or indirectly. It is intended for use in research only.
Felix Fernandez,
Jan 29, 2019, 1:58 AM