Sun, Mar 1, 2015
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Industry Updates

Auriel launches dynamic currency hedging programme with $1.1bn institutional mandate

Wednesday, December 15, 2010
Opalesque Industry Update - Auriel Capital Management LLP, the London-based investment management firm, has launched a dynamic currency hedging programme for institutional investors with the backing of a US$1.1bn mandate from a US corporate pension plan.

The strategy is designed to reduce the volatility of institutional investors’ foreign currency exposures while profiting from medium and long-term movements across foreign exchange markets. Implemented as a customised overlay, the programme aims to outperform a passively hedged benchmark of overseas currency exposures. It employs Auriel’s quantitative and qualitative risk controls in addition to a systematic portfolio construction process to reduce currency risk relative to static hedging.

Through a systematic, multi-factor approach, Auriel’s programme seeks to add value above a static hedge by exploiting relative valuation opportunities in developed and emerging currencies. It can be altered to suit various time horizons, risk tolerances and existing exposures across currency markets.

The programme utilises a suite of proprietary models encompassing fundamental, risk aversion and technical factors to determine the optimal hedge ratio for a foreign currency pair at a given point in time. With a holding period of approximately one month, the strategy provides a cost-effective alternative to passive hedging with the potential to add value through active views.

Anoosh Lachin, Managing Partner, Auriel Capital Management LLP, says: “With over 25 years of combined currency management experience, Auriel’s foreign exchange team has designed a strategy offering a more robust approach to managing currency risk.

Dynamic currency hedging allows investors to take the decision to reduce currency volatility without having to make an explicit call on the current value of their home currency. The success of dynamic hedge is ultimately driven by the quality of the investment manager's views rather than the strength of the client’s home currency relative to foreign currencies at the point of implementation.”

Asif Noor, Portfolio Manager, Auriel Capital Management LLP, says: “There are two significant potential benefits to dynamic hedging. It can achieve better downside protection without sacrificing the potential for positive returns. Additionally, through dynamic hedging trustees can make the decision to control foreign exchange risk without having to pay undue attention to the timing of their decision.”

(press release)


Auriel Capital Management LLP is a London-based investment management firm specialising in foreign exchange and global macro strategies. Auriel is authorised and regulated by the Financial Services Authority (FSA No. 400027) and is an SEC registered investment advisor (SEC No.: 801-65136). In addition to this new mandate, Auriel manages over US$206m (as at 1st December 2010) in active global macro and currency strategies on behalf of institutional investors worldwide. www.aurielcapital.com


Bg

What do you think?

   Use "anonymous" as my name    |   Alert me via email on new comments   |   
Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing


  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. Investing - Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched, Myriad hedge fund sold bulk of its Alibaba stake last year[more]

    Seth Klarman of Baupost outlines his investment process as major stock market indices are stretched From Valuewalk.com: As hedge fund manager Seth Klarman, leader of the $28 billion Baupost Group, reviews 2014 performance and considers investors gained near 7 percent on the year, he cons

  2. Adamas Asset Management and Ping An Insurance to co-manage $500m debt fund[more]

    Komfie Manalo, Opalesque Asia: Hong Kong-based Adamas Asset Management and Ping An Insurance Group, one of China’s largest financial institutions, have finalized a memorandum of und

  3. Opalesque Exclusive: dbSelect’s top ten FX strategies average almost 10% in January[more]

    Benedicte Gravrand, Opalesque Geneva: In one of Deutsche Asset & Wealth Management (AWM)’s hedge fund platforms, called dbSelect, a number of FX Strategies did very well in January. dbSelect is a managed investment platform for unf

  4. Opalesque Exclusive: SEC’s Mark J. Flannery warns hedge funds against valuation misconduct[more]

    Komfie Manalo, Opalesque Asia: Securities and Exchange Commission chief economist and director of Division of Economic and Risk Analysis (DERA) Mark J. Flannery has warned of the risks posed by market misconduct, particularly in the true valuation of assets by hedge fund managers. In his

  5. Dymon Asia's $3bn macro hedge fund lost 10.45% in January[more]

    From Reuters.com: Dymon Asia's $3.1 billion macro hedge fund lost 10.45 percent in January, performance data seen by Reuters showed, a month where many peers lost heavily after a surprise rise in the Swiss franc. Singapore-based Dymon, set up by Danny Yong, a former founding partner and chie