Currency Alpha


Key characteristics

-Short-term discretionary FX trading with focus on G10 currencies
-Disciplined and stringent risk management
-Combines model set-up on macro and technical analysis with the portfolio managers' experience and market understanding
-Experienced team of portfolio managers
-Solid performance record


Objective

The strategy aims to generate an annual return which exceeds Danmarks Nationalbank's (the central bank of Denmark) lending rate by at least 3%. The investment strategy would in Mercer Investment Consulting's context be classified in line with ”Intra-week discretionary strategy”.

The investment strategy is to combine investment in financial instruments in such a way that short-term imbalances in the FX markets are exploited to generate a positive return, irrespective of the general market conditions.


Investment strategy

The fund's strategy is to exploit a short-term imbalance in the FX markets to generate a consistent absolute return. The strategy is, through the help of positions in short and medium-term FX instruments, to buy currencies that are assessed to be undervalued and to sell currencies that are assessed to be overvalued.This leaves a risk for the fund of an unfavourable exchange rate between the two currencies and, accordingly, a negative return. A favourable exchange rate between the two currencies will, on the other hand, create a positive return for the fund.

When a position is entered and risk is assumed, a level for the maximum loss of this position is set (stop loss level). This level is generally not changed. At the same time, a target for the position's positive return is set (take profit level). The take profit level can be moved to ensure the best return. If so, the stop loss level is moved accordingly to protect the positive return already achieved or to minimise the position's potential negative return.


Portfolio management
 

 Christina Andersen

Christina Andersen

Vice President, Portfolio Manager FX
Unit:Investment Management
 Jakob Amdi Frederiksen

Jakob Amdi Frederiksen

Senior, Portfolio Manager FX
Unit:Investment Management