In its recent poll of more than 300 institutional investors, Barclays Capital reported that nearly 60% of respondents indicated they had increased their commodities exposure in the last 12 months, and 63% indicated they would increase their exposure over the next 3 years. As investing in commodities increases, the introduction of APTâs commodities multi-factor risk model is timely in helping customers manage their risk in a multi-asset class environment.
APT provides a suite of multi-asset risk models that are used by risk and portfolio managers as part of a risk-based investment management decision process. The solution was enhanced to improve the explanatory capabilities for investment managers interested in analyzing their commodity exposure. Using APT, F&C can now take advantage of measuring and attributing their portfolio commodity risk according to a wide range of commodities-based risk factors, as well as define commodities-based stress tests. F&C users will also have the ability to explore the impact of shocks to commodities price factors. For example, they can view the impact of scenarios, which examine how the markets perform when the correlation of commodities to other asset classes increases. Further functionality also allows users to investigate the impact of varying their allocation to commodities on their risk budget.
âCustomers are demanding increased access to commodities as they see greater potential for returns, as well as the benefit of their low correlation with traditional asset classes. APT and the new commodities extension helps to provide us with an effective risk management process to manage this within a multi-asset class framework,â commented Lef Sigalos, head of investment risk at F&C Asset Management.
Ettie Takacs, chief operating officer of SunGard's APT business unit, said, âThe appetite for investing in commodities has increased over the last 12 months. APT has responded to this demand by delivering a commodities model that completes the process by helping managers understand risk and reward returns, and therefore control their exposure to commodities. F&C is one of the many customers to benefit from this development.â