# Commodity risk management for funds and family offices | UHEDGE

> Commodity risk management for asset managers and family offices: mark-to-market and pricing of Asian options, barriers and physical basis, per mandate.

Canonical: https://uhedge.com.br/en/para-quem/gestoras-family-offices

## Commodity risk management with defensible mark-to-market

The risk system covers the whole portfolio. Except the part that is commodities.

Commodity risk management for asset managers and family offices: mark-to-market and pricing of Asian options, barriers and physical basis, with mandate-level compliance checks. The manager has an approved risk system, administrator reporting and monitored compliance. For fixed income, equities and listed derivatives, the setup works and stands up to due diligence. The commodity sleeve, however, includes Asians, barrier structures and exposure to regional physical basis, which fund-oriented systems cover only partially. Marking that sleeve ends up resting on a spreadsheet — and that is precisely what the institutional allocator asks to examine.

### How the problem works

- The marking methodology for hard-to-price assets is not documented in a format presentable to the fiduciary administrator or to an allocator.
- Running several portfolios with different mandates consumes the manager's time in operations and reporting rather than fundraising.
- Mandate compliance depends on manual checks, and breaches tend to surface later, via the administrator.

### What the platform covers

- Multi-client portfolio: AUM, consolidated marking, gross exposure and average hedge ratio across all portfolios, with a client selector and individual detail.
- Pricing and greeks: Vanillas, Asians, barrier structures and accumulators, with delta, gamma, vega and theta per position.
- Physical and basis: Physical curves by commodity and location, decomposed into basis, freight and charges, standardised across portfolios.
- Compliance: Limits by mandate, VaR by book and consolidated, minimum hedge ratio and alerts before a breach.
- Attribution and audit: Return by portfolio against benchmark, alpha, Sharpe ratio, and an immutable trail for due diligence.

### What becomes demonstrable

- Marking methodology documented and presentable.
- Mandate compliance monitored, without manual checks.
- Performance attribution by portfolio and by factor.
- Number of portfolios run without adding headcount.

### Coexistence with the existing setup

- A complementary layer to the risk system and administrator reporting, not a replacement.
- Initial integration via structured files, with no technology project needed to start.
- A marking methodology document available to forward to the fiduciary administrator.

### The same methodology applied to our own management

- Hedge alpha: 2.6 c$/lb. Average reduction in hedge price versus a passive futures lock.
- Information Ratio: 3.5. Consistency of alpha generation adjusted for tracking error.
- Sharpe Ratio: 1.40. UHEDGE commodities fund, absolute return.

### A second possibility: sub-advisory of the commodity sleeve

For managers who prefer not to internalise the operation, UHEDGE Asset Management, authorised by the CVM, can act as manager of the commodity sleeve under mandate, with agreed governance and daily reporting. The investor relationship, the fund strategy and the allocation decision remain entirely the manager's.

### Suggested next step

A thirty-minute demo with two of your portfolios already loaded, so the comparison is concrete. The first full monthly reporting cycle is ready within four weeks. If a due diligence questionnaire is under way, we can prioritise the systems and controls section.

### Frequently asked questions

- How do you mark an Asian commodity option to market? With a model calibrated to the asset's volatility surface and the averaging window of the structure — not the screen price, and not a European-option approximation.
- Why does the commodity sleeve need its own treatment? Because it combines futures price, physical basis and FX, each with its own curve and liquidity, which generic equity marking does not capture.
- Does UHEDGE take over the mandate? It can act as manager of the mandate or purely as a pricing and risk provider, depending on how the vehicle is set up.

## Who leads and notes

### Who leads it

Rafael Lins dos Anjos, founding partner. Mechatronics Engineer from Poli-USP, with master's degrees in Economics from Insper and in Finance from London Business School. Around twenty years in global banks and commodity merchants, including Santander, Macquarie in London, Banco Pine and ED&F Man, where he headed the global OTC desk. CGA and CGE certified by ANBIMA.

### Sources and notes

Track record: results of UHEDGE managed hedge portfolios, measured against a passive sugar futures (ICE) benchmark over an auditable historical series. The commodities fund began operations in November 2024. Calculation memo and methodology available on request.

Past performance is no guarantee of future results. Informational material only; not a public offering, an investment recommendation or a guarantee of results. Derivatives transactions involve risk of loss. The terms of each service are defined by contract.

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UHEDGE — asset manager regulated by Brazil's CVM. contato@uhedge.com.br · +55 (19) 3326-1178