Thursday, 2 October 2014
Last updated 1 hour ago
Jun 19 2007 | 10:32am ET
The $36.7 billion Los Angeles County Employees Retirement Association last month hired PIMCO and a partnership of Lehman Brothers Asset Management and Gresham Investment Management for a total allocation of $400 million from its commodities mandate. PIMCO was awarded $250 million and Lehman/Gresham $150 million.
PIMCO’s approach to commodities investing consists of two elements: swaps to gain commodity exposure and an enhanced cash portfolio, adding value in both elements of the strategy. In addition to “plain vanilla” swaps, PIMCO invests up to 40% of its portfolio in swaps designed to outperform the index. To date PIMCO has implemented seven types of enhancement trades they call “structural trades.” These trades include rolling futures on different days than the index, or rolling into further-dated futures than the index.
In 2005, Lehman entered into a sub-advisory agreement with Gresham to offer commodities investing to institutional investors. Gresham developed a rules-based commodities investment strategy called TAP, which seeks to minimize the volatility of futures investing. The TAP methodology predates the Goldman Sachs and Dow Jones commodity indices, and since 1998 has had higher returns and lower volatility than either index, according to Gresham.
Sep 22 2014 | 4:15pm ET
"I tell people that everybody likes good news and so if you have good performance that’s wonderful,” explains Mike McKitish of Peddie School's endowment, “but it’s the people that want to talk about the bad news or where they drifted and how they came back and how they stayed to their discipline…” that he wants to hear from. Read more…
Sep 30 2014 | 9:29am ET
The crisp Autumnal days of October are upon us, and so are a few of the hedge fund industry’s favorite charitable events. If you have never been to Rocktoberfest, well, you are missing out. And for a quieter evening of sipping and socializing, stop by HFC’s Wine Soiree. Read more…
High frequency trading is not evil, it is not a conspiracy and it really is not new; it is the natural evolution of the professional trading community making markets, providing liquidity and hopefully...