Millennium Global launches systematic long/short currency hedge fund
Currency-focused investment manager Millennium Global Investments has launched a new systematic long/short currency hedge fund strategy to tap into burgeoning demand for non-correlated returns in what it calls a “favourable” investment environment.
The Millennium Systematic Currency Alpha Strategy takes long and short positions in nine developed market currencies versus the US dollar, using a proprietary systematic investment model.
Specifically, the investment algorithm is built around forward-looking momentum signals which will determine the probability of range expansion, trend reversals and gap risk as well as currency risk premia analysed using sparse-learning techniques.
The Luxembourg-domiciled fund – which has already raised over USD100 million in pre-launch funding ahead of Wednesday’s roll-out – is offered in a UCITS-compliant format with daily liquidity, aimed at providing a broader universe of investors with access to Millennium Global’s systematic currency alpha strategy.
Commenting on the launch, Mark Astley, co-CEO of Millennium Global, described currency markets as being at the “focal point” of economic, financial and geo-political differentiation.
“Returns generated from currency markets are typically uncorrelated with other asset classes and therefore provide attractive diversification benefits within most investors’ asset allocation frameworks,” Astley said. “Many traditional asset classes are currently highly valued, especially US equity and fixed income markets. Investors are looking elsewhere for attractive returns and this makes it an ideal time to launch the UCITS Fund”.
Established in 1994, London-based Millennium Global – which manages more than USD20 billion is assets in segregated accounts for institutional clients – runs a range of products spanning alpha-focused currency programmes, dynamic and passive currency hedging, and currency management advisory services, including FX execution.
Umberto Alvisi, co-CIO and head of systematic investments at Millennium Global, said: “We are seeing growing demand for our return-seeking and hedging programs from large institutions. We think that the current environment is favourable for our strategy and are pleased to be able to make it available to a wider audience.”