DMS P/E FX Strategy Fund

Investment Objective

The investment objective of the Fund is to generate returns by investing in foreign exchange markets with a systematic approach. The Fund will be invested primarily in foreign exchange futures and U.S. Treasury bills.

Latest Meeting Note

Meeting 12 Oct 2020

The DMS P/E FX Strategy is focused on the most liquid international currency markets (10 DM and 5EM currency pairs). Its systematic investment approach is based on the idea that fundamental macroeconomic forces drive currency exchange ra... Read more

The DMS P/E FX Strategy is focused on the most liquid international currency markets (10 DM and 5EM currency pairs). Its systematic investment approach is based on the idea that fundamental macroeconomic forces drive currency exchange rates, and that these forces can be identified and quantified as factors, which are divided into seven main groups: relative short term rates, relative long term rates, relative short-end yield curve, relative long-end yield curve, inflation, capital flows and economic surprise. Given that the relative dominance of each factor varies over time, PE believes that Bayesian statistical analysis can provide a rigorous framework for understanding these markets. Based on stochastic modelling the strategy predicts returns and volatilities for currencies; then, it optimises potential investments based on risk/return trade-offs, and produces target positions. Risk management is integrated into the process and is built around two hard constraints: VaR 12% and  margin-to-equity 10%. Since its UCITS inception the strategy has delivered strong returns to investors (4.5% annualised) with negative correlation to equities (-0.57).

Performance

JAN FEB MAR APR MAY JUN JUL AUG SEP OCT NOV DEC YTD
2019 0.7 0.7 0.0 0.3 0.9 0.3 0.4 0.2 0.9 0.6 1.0 0.9 0.6
2018 0.5 0.2 0.8 0.9 0.1 0.3 0.2 0.3 0.2 0.7 0.6 0.6 0.6

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Close Current Site Absolute Hedge is a market leading UCITS research database providing proprietary research on funds, themes and strategies in the UCITS space. Kepler Trust Intelligence is produced by the investment companies team at Kepler Partners and is the UK’s premier source of detailed qualitative research on investment trusts. Kepler Liquid Strategies is a Dublin domiciled UCITS fund platform featuring a number of best-of-breed fund managers. Kepler Partners is a corporate advisory and asset raising boutique specialising in the regulated funds market in Europe and investment trusts in the UK.