UK - State Street Global Advisors has launched its first absolute return currency fund for institutional investors.
The SSgA Absolute Return Currency Fund aims to achieve capital appreciation through an actively managed portfolio of currencies.
It will do this by seeking to forecast exchange rate movements and changes in exchange rate volatility using quantitative modelling techniques.
SSgA says it will take balanced long and short positions in currencies – including the US dollar, Japanese yen and sterling – using over-the-counter (OTC) forward foreign exchange contracts, OTC options and futures.
The fund, which is domiciled in the Cayman Islands, will be co-managed by SSgA global head of currency management Paul Duncombe and chief investment officer of hedge fund strategies Chris Woods.
Woods currently leads the SSgA team responsible for existing hedge funds including US Equity Market Neutral, Europe Equity Market Neutral and Japan Equity Market Neutral.
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