UK - Old Mutual Asset Managers (OMAM) has launched a currency hedge fund.
The fund invests in 11 major currencies (G10 plus Singapore dollar) through spot and forward contracts.
It explained the fund was 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.
According to OMAM, the investment process incorporates 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.
The management team is led by Jinhui Luo, a currency specialist, who joined OMAM in 2005 from Barclays Global Investors, where he focused on foreign exchange modelling and portfolio construction.
Luo said: "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."
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