The Workplace, Health, Safety and Compensation Commission, Saint John, New Brunswick, put daily risk oversight in place for its C$20 million ($15 million U.S.) long-only managed futures allocation, said Warren Gerow, manager of treasury and investments.
Mr. Gerow said the commission, with C$535 million ($387 million U.S.) in assets, gets daily investment data on its futures manager, Trilogy Capital Management. Positions are then analyzed, looking at volatility for various periods, correlations with other markets and leverage, he said.
Mr. Gerow said the performance and volatility has been good for the allocation, which began in July 1996, with strong performance coming during the Standard & Poor's 500 fall earlier this year.
The managed futures allocation has been leveraged by as much as six times its cash allocation, although most of the leverage so far has come through low volatility 90-day Eurodollar futures, Mr. Gerow said.