Multi-Asset Class Market Report: Hedging the Risk of $200 per Barrel

Mar 30, 2012

Oil prices have risen sharply during the last two years.  Investors concerned about further increases will want to guard against adverse effects on their portfolios.  In this Market Report, we investigate appropriate hedging strategies using the Barra Integrated Model, looking at how asset classes interact in different historical periods (and not simply relying on looking at previous periods of similar oil-price behavior).  The Barra Integrated Model allows investors to construct their own hedges and stress-test those strategies using a set of plausible asset-class relationships.  This level of quantitative analysis also helps investors understand how hedges may behave across different scenarios.