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22 Sept 2008, 8 pages
Hedging/Gaining Market Exposure
Events over the past week have again exposed the global risks facing Asian
investors and led to a rise in market volatility. Investors anticipating further
broad market declines may be seeking to hedge out market exposure to
reduce the impact of potential negative systematic effects and lower overall
portfolio volatility. On the other hand, investors who see value in the
current market may be seeking to gain broad market exposure to benefit
from any recovery.
Optimised Liquid Futures Baskets
The liquidity and cost-efficiency of local futures contracts make them
appealing for many investors looking to hedge or gain market exposure.
However, liquid local futures are not available for all countries. Optimised
liquid futures baskets can offer targeted regional exposure while retaining
liquidity and cost benefits.
Multiple Scenarios for Asia Exposure
In this report, we utilise UBS regional risk models within a suitable
optimisation process to construct optimised liquid futures baskets for
hedging or gaining exposure to popular regional Asian indices. We can also
construct bespoke optimised futures baskets for hedging or gaining
exposure to other regional and customised indices and portfolio exposures.
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