COM
Currency Overlay Management
Strategy’s purpose
Main features
tight risk control
Foreign exchange adds notable risk to investment and business, and there is no natural hedging effect against it. That’s why investors/companies with international exposure should have a currency policy. The COM’s foremost objective is to capture the main trends in the foreign exchange markets while reducing the risk for the client.
quantitative & disciplined
The COM is based on quantitative models that will systematically provide with hedging signals depending on the underlying spot’s behaviour. The signals generated by the models are applied in a disciplined manner. This transparent methodology provides a high stability in results, as proven in our 18 years-old real track-record.
dynamic
The COM dynamically changes the hedge ratio depending on the underlying spot price movements. Active currency overlay aims to improve risk/return ratios of currency exposure while remaining in the context of the underlying investments.
COM does not leverage or increases the long/short underlying exposure.
Management philosophy: Benchmark
Any Benchmark between 0% and 100% is possible, depending on the client’s needs and market evolution.
0% Benchmark
Benefits naturally when risk currency moves favourably.
Protects partially against declines in investment currency.
It has a limited impact on the portfolio’s overall volatility.
100% Benchmark
Protects naturally against declines in investment currency.
Partially profits when risk currency moves favourably.
It may involve larger cash flows that could impact portfolio management.
Experience & Awards
developing scientific, mathematical investment solutions. Pure objectivity and transparency.
in currency overlay.
billion (Assets Under Advice).
covered.
2014 & 2015
to best Currency Manager (in partnership with EdRAM). 2016, 2017 & 2018
Results
EUR&USD real track record (long USD 0%)
