Sun, Aug 30, 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 - Hedge funds suddenly find real money is back in Argentina's debt, Elon Musk buys more SolarCity stock following hedge fund manager short, BlackRock plans to get into rental-home financing[more]

    Hedge funds suddenly find real money is back in Argentina's debt From Bloomberg.com: The real money is back in Argentina. Before the country’s default in July 2014 (its second in 13 years), most long-term investors abandoned its bond market. As they rushed out, Argentina became a favorit

  2. Activist News - Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping, Meet Europe's best activist investor[more]

    Carl Icahn has snapped up a huge stake in Freeport-McMoRan, and the stock is ripping From Businessinsider.com: Carl Icahn has picked his next target: Freeport-McMoRan. Icahn and a group of other investors have snapped up an 8.46% stake in mining company Freeport-McMoRan, according to a j

  3. North America - Hedge fund manager Ray Dalio’s challenge to the Fed[more]

    From Newyorker.com: For some reason, Janet Yellen, the chair of the Federal Reserve, decided to skip this year’s annual Fed conference in Jackson Hole, where monetary policymakers from the United States and abroad get together with some prominent academics to discuss the big issues of the moment. Th

  4. Opalesque Exclusive: Credit-focused hedge fund Numen Capital expects more volatility in Europe in coming months[more]

    Benedicte Gravrand, Opalesque Geneva: A London-based hedge fund, which has just hired two emerging managers, is cautious on Europe. Vassilis Paschopoulos and former Lehman’s colleague Nikos Kargadouris, launched a London-based credit-focused hedge fund called

  5. Performance - Hedge funds bruised by stocks’ meltdown, Capstone’s volatility hedge fund is having a monster month thanks to market mayhem[more]

    Hedge funds bruised by stocks’ meltdown From WSJ.com: Hedge-fund managers like to promise their investors protection from market swings. In the recent stock swoon, many were caught off guard. Billionaire managers such as Leon Cooperman, Raymond Dalio and Daniel Loeb are deeply in the red

 

banner