Thu, Aug 21, 2014
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. Institutions – Texas Employees sets 2015 tactical plan for alternatives, CalPERS' real estate consultant cautions the pension fund's investment committee, Why Sunsuper likes hedge funds[more]

    Texas Employees sets 2015 tactical plan for alternatives From PIOnline.com: Texas Employees Retirement System will invest in up to four new hedge funds in the next fiscal year, which begins Sept. 1. Trustees approved 2015 tactical investment plans for the hedge fund, private equity and in

  2. Private equity follows hedge funds into reinsurance for long-term capital[more]

    From Artemis.bm: It’s not just hedge funds that are entering the insurance and reinsurance market in search of so-called long-term capital to put to work in their strategies, private equity firms targeting the space are also seeking opportunities to add assets under management. The entry of large pr

  3. North America – New York City’s next hot neighborhoods targeted with property funds[more]

    From Bloomberg.com: New York’s real estate world is filled with tales of ordinary people who bought property decades ago and saw values skyrocket to the millions. Seth Weissman is seeking investors to get in early on the next hot neighborhoods. The veteran of Goldman Sachs Group Inc. and hedge

  4. Investing – George Soros bets $2bn on stock market collapse, Warren Buffett's Berkshire reveals Charter stake, cuts DirecTV, Hedge funds lusting to cash out of MGM, Top hedge fund managers are buying Ally Financial, Hedge funds dumped 5m Herbalife shares in Q2, Paulson & Co hedge fund ups Puerto Rico real estate bet, Netflix Inc., Citigroup Inc, Google Inc are top new picks in Tiger Management’s 13F[more]

    George Soros bets $2bn on stock market collapse From Newsmax.com: Billionaire investor George Soros has increased his financial bet that U.S. stocks will collapse to more than $2 billion. The legendary hedge fund manager has been raising his negative bet on the Standard & Poor's 500 Inde

  5. Investors now net short S&P500 and increased Russell shorts, technicals suggest further selling[more]

    Komfie Manalo, Opalesque Asia: Market Neutral funds increased their market exposure to -1% net short from -6% net short last week, according to Bank of America Merrill Lynch’s Hedge Fund Monitor. The report also added