Old Mutual Asset Managers has added to its hedge fund range with the launch of the Old Mutual Currency Fund, managed using a multi-signal quantitative model.
Old Mutual Asset Managers has added to its hedge fund range with the launch of the Old Mutual Currency Fund, managed using a multi-signal quantitative model.
The fund, which was made publicly available at the start of December, had been run within OMAM’s incubator since March 2007. During 2008 it delivered a return of 11.5 per cent (US dollar share class).
The fund invests in 11 major currencies (G10 plus Singapore dollar) through spot and forward contracts. The strategy may also be structured as a managed account.
The management team is led by Dr Jinhui Luo, an experienced currency specialist, who joined OMAM in 2005 from Barclays Global Investors, where he focused on foreign exchange modelling and portfolio construction.
The fund is managed using a quantitative model consisting of multiple low-correlated signals, each representing a discrete investment insight from an economic perspective. Signals capture a wide range of market drivers, ranging from long term fundamentals and medium term economic environment to short term investor behaviour and sentiment.
The investment process incorporates rigorous risk management, including position limits, leverage controls and stop-loss levels, designed to ensure both that risk targets are met and that capital is protected during periods of extreme market volatility.
‘We are very pleased with the performance of the Old Mutual Currency Fund during the recent environment of extreme market turbulence,’ says Dr Luo. ‘The use of both qualitative and quantitative signals relating to macroeconomic and financial market developments, trading conditions and risk appetite allows extreme market events to be assimilated into the portfolio construction process as quickly as possible and this has enabled us to continue to deliver positive returns during a period in which many hedge funds have struggled.’
Matthew Nagele, managing director, distribution at OMAM, adds: ‘The Old Mutual Currency Fund is designed to offer institutional investors absolute, low-correlated returns with other asset classes through an advanced and highly risk controlled quantitative model. The investment team is implementing ongoing research to identify and capture new drivers of currency markets and we believe that this will be a key differentiating factor in the long run. Our currency strategy is available either as a public fund or as a managed account, and we believe it will appeal to a variety of investors.’
