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SEBI has introduced a new matrix for commodity funds and schemes having exposure to commodities to gauge their risk level.
According to SEBI, risk level of commodity funds or funds having exposure to commodity will be based on 15-year volatile index.
SEBI said, “It has been decided that investment in commodities by mutual fund schemes shall be assigned a risk score corresponding to the annualized volatility of the price of the said commodity. The annualized volatility shall be computed quarterly based on past 15 years’ prices of benchmark index of the said commodity.”
Here is the table based on SEBI’s new risk matrix:
|
Annualized volatility |
Risk value on risk-o-meter |
|
Less than 10% |
3 (Moderate) |
|
10-15% |
4 (Moderately High) |
|
15-20% |
5 (High) |
|
More than 20% |
6(Very High) |
Giving an example, SEBI said that if price of gold has annualized volatility of 18% based on price of gold of past 15 years, then gold and gold related instruments will have risk value of 5 (high) on risk-o-meter.
The circular has come into effect immediately, said SEBI.
