Turn currency risk into opportunity

Develop currency hedging programs based on event contingencies and skewed biases towards favorable or unfavorable scenarios in order to achieve risk mitigation or add extra portfolio returns.

Currency risk is a built-in component of cross-border investment. Currency overlay management entails separating the currency exposure from asset price exposure in international portfolios. The management can be passive, to just neutralize the impact that rising and falling currencies would otherwise have on portfolios, or active, to actually add to alpha. The management can pertain to transactional currency risk, i.e. the risk related to the acquisition of foreign assets, to translational currency risk, i.e. the repatriation of earnings and profits, or, in most cases, to a combination of both.

OUR CURRENCY OVERLAY MANAGEMENT FRAMEWORK

Our currency overlay program is active in nature and consists of tactical currency hedging according to a rule-based currency forecasting model. Depending on what it is that you are trying to achieve in terms of hedging objectives and alpha generation, we will at times chose to completely or partly remove hedges when market circumstances so require; or we can overhedge you when this is likely to work to your advantage.

As it is the case with our alternative investments program, our modeling is based on our overall idealized market cycle framework, which in turn is based on thorough and disciplined analysis of market behavior and the way it reconciles with market fundamentals. We always look up as much information as there is available, however most of the time our market forecasts are derived from a combination of five key concepts :
 

INTERMARKET ANALYSIS

Inter-market analysis and the way related markets act in tandem – or, for that matter, not – is our way of looking at deep fundamentals connections. Of particular interest are the correlations between currencies and commodities and currencies and interest rate spreads;

RATIO ANALYSIS

Trends of related size (or degree) tend to develop in certain proportions to each other. We use several ratio analysis techniques for determining the projected extent of trend and counter-trend moves alike;

MOMENTUM ANALYSIS

Momentum analysis is useful by allowing the analyst to identify in a statistically significant way the stage of trend development and / or the degree of trend completion or maturation;

SENTIMENT ANALYSIS

From sentiment indices, consensus of bullish or bearish market opinion, implied volatility or open interest, sentiment analysis occasionally reveals situations of one-sided market opinion which are typically associated with market-turning points;

PATTERN ANALYSIS

Market trends develop specific motive or corrective forms depending on whether they travel with or against the market’s OVERALL trend. These forms are important in the forecasting process because they allow the analyst to identify both the direction and the role (i.e. trend or counter-trend) of any given market move.

PROGRAM AVAILABILITY

We can build your very own currency overlay program using OTC spot, forwards and options on currency pairs built out of any two currencies available in the lists below:

AMERICAS
USD | US Dollar
CAD | Canadian Dollar

 

EUROPE
EUR | Euro
GBP | Pound Sterling
CHF | Swiss Franc
DKK | Danish Krone
SEK | Swedish Krone
NOK | Norwegian Krone

 

Middle East & North Africa
ILS | Israeli Shekel


ASIA-PACIFIC
JPY | Japanese Yen
AUD | Australian Dollar
NZD | New Zealand Dollar
KRW | Korean Won
SGD | Singapore Dollar

AMERICAS
ARS | Argentinian Peso
BRL | Brazilian Real
MXN | Mexican Peso

 

EASTERN EUROPE
RUB | Russian Ruble
PLN | Polish Zloty
RON | Romanian Leu
TRY | Turkish Lira

 

Middle East & North Africa
EGP | Egyptian Pound
ZAR | South African
 

ASIA-PACIFIC
CNY | Chinese Yuan
MYR | Malaysian Rynggit
THB | Thai Baht

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