COM

Currency Overlay Management

0 1
Strategy's purpose
0 2
Main features
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Management philosophy
0 4
Experience & Awards
0 5
Results
01/05

Strategy’s purpose

Algorithmic actively managed strategy designed to protect any business from foreign exchange risk.
02/05

Main features

tight risk control

Foreign exchange adds notable risk to investment and business, and there is no natural hedging effect against it. That’s why investors/companies with international exposure should have a currency policy. The COM’s foremost objective is to capture the main trends in the foreign exchange markets while reducing the risk for the client.

quantitative & disciplined

The COM is based on quantitative models that will systematically provide with hedging signals depending on the underlying spot’s behaviour. The signals generated by the models are applied in a disciplined manner. This transparent methodology provides a high stability in results, as proven in our 18 years-old real track-record.

dynamic

The COM dynamically changes the hedge ratio depending on the underlying spot price movements. Active currency overlay aims to improve risk/return ratios of currency exposure while remaining in the context of the underlying investments.

COM does not leverage or increases the long/short underlying exposure.

03/05

Management philosophy: Benchmark

Any Benchmark between 0% and 100% is possible, depending on the client’s needs and market evolution.

0% Benchmark

Benefits naturally when risk currency moves favourably.

Protects partially against declines in investment currency.

It has a limited impact on the portfolio’s overall volatility.

100% Benchmark

Protects naturally against declines in investment currency.

Partially profits when risk currency moves favourably.

It may involve larger cash flows that could impact portfolio management.

04/05

Experience & Awards

30 YEARS EXPERIENCE

developing scientific, mathematical investment solutions. Pure objectivity and transparency.

19 YEARS OF REAL TRACK RECORD

in currency overlay.

€10.4 AUA

billion (Assets Under Advice).

26 CURRENCY PAIRS

covered.

2 EUROPEAN PENSION AWARDS

2014 & 2015

3 FINANCIAL TIMES PIPAs AWARDS

to best Currency Manager (in partnership with EdRAM). 2016, 2017 & 2018

05/05

Results

05/A

EUR&USD real track record (long USD 0%)

HEDGE RATIO
BENCHMARK + COM
BENCHMARK
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