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 program is active in nature and consists of tactical currency hedging according to a currency forecasting model based on the study of price, implied volatility and inter-market analysis. 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 over-hedge 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 :

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: