Fx algo
- 1. 111111 A broader investment universe offers a wider opportunity set, so we apply our algorithm to 45 currency pairs, namely USD, GBP, YEN, CHF, AUD, NZD, CAD, NOK, SEK and of course EUR, which is our base currency. The same strategy can use different base currencies, and the only differences will arise from better or worse liquidity and higher or lower risk free rate. For example, should USD be the base currency we can expect better returns. Each pair has the same risk budget and its ‘‘weight’’ is, as the first step, an inverse function of its volatility. Fx proprietary systematic approach Investment Universe
- 2. 222222 Fx proprietary systematic approach We strongly believe systematic approaches applied to currency markets can still deliver interesting returns with low correlations to equity and bond markets, and as such, constitute an important component within multi-asset and multi-strategy absolute return portfolios. Results Data Source: Bloomberg; own elaboration
- 3. 333333 Robustness check To verify the robustness of our algorithm we can check its results by applying it to a different universe of currencies... Emerging currencies Data Source: Bloomberg; own elaboration
- 4. 444444 Robustness check ... or to a different asset class... US sectors - market neutral Data Source: Bloomberg; own elaboration
- 5. 555555 Robustness check ... and to another Commodity indexes Data Source: Bloomberg; own elaboration