September, 2023
• The Fund returned 5.89%, net of fees, in September 2023.
• During the month, interest rates continued to diverge across global markets. The European Central Bank signalled that rate increases have likely ended; by contrast, the U.S. Federal Reserve indicated that another rate increase will be forthcoming. Further, U.S. growth expectations have improved relative to those of both Europe and Asia. Finally, the Euro continues to be crowded among speculators.
• Currently, yield spreads, economic surprise, relative growth factors, and inflation factors are driving FX Strategy positioning. P/E’s factors currently favour currencies with higher rates and higher expected growth, such as the US dollar. Inflation risk is increasing as energy prices near the highs for the year. In addition, P/E anticipates continued correction in currencies with extreme speculative positioning.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/205859536.pdfAugust, 2023
• The Fund returned 7.08%, net of fees, in August 2023.
• Thus far, 2023 has been a year of currency divergence. The Japanese yen and the Australian dollar have depreciated versus the US dollar by more than 10% and 5%, respectively. By contrast, the euro and the British pound have appreciated versus the US dollar. In August, the strength of European currencies began to reverse as growth slowed and comparable rates fell. The European Central Bank appears to be near the end of its hiking cycle.
• Currently, yield spread, inflation, and relative growth factors are driving FX Strategy positioning. P/E’s factors currently favour currencies with higher rates and higher expected growth. Inflation risk is increasing as energy prices are near the highs for the year. In addition, P/E anticipates continued correction in currencies with extreme speculative positioning, such as the euro.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/204370846.pdfJuly, 2023
• The Fund returned -2.60%, net of fees, in July 2023.
• Over the last twelve months, European currencies have outperformed the US dollar by about 10%, and Asian/Pacific currencies have generally underperformed the US dollar by about 10%. European currencies have benefited from a lowering of perceived contagion risk from the war in Ukraine. Asian/Pacific currencies have fallen as the Chinese growth engine has sputtered. Overall, energy prices have fallen over the past year, leading to improving global inflation data. However, energy prices appear to have bottomed in June. Global economic data has also begun to diverge, with US economic data improving and European data deteriorating during the month of July.
• Currently, yield spread, inflation, and relative growth factors are driving FX Strategy positioning. P/E’s factors currently favour currencies with higher rates and higher expected growth, such as the US dollar. P/E see inflation risk increasing as optimism for low inflation remains high. In addition, the Fund anticipates correction in currencies with extreme speculative positioning.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/203797687.pdfJune, 2023
• The Fund returned -2.55%, net of fees, in June 2023.
• During the month, the US Federal Reserve’s “skip” decision, alongside hawkish moves by other central banks, engendered short term negative sentiment for the US dollar. Economic growth concerns continued to rise in Asia, as China’s recovery faltered. Finally, positive economic surprise for the United States surpassed economic surprise indicators in Europe and Asia.
• Currently, yield spreads factors, inflation, and relative growth are driving FX Strategy positioning. P/E’s factors currently favour currencies with higher rates and higher expected growth, such as the US dollar. In addition, the Fund anticipates correction in currencies with extreme speculative positioning.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/202408681.pdfMay, 2023
• The Fund returned 7.06%, net of fees, in May 2023.
• During the month, concerns regarding the US debt ceiling declined as government officials worked towards resolution. Strong employment and inflation data in the US, combined with slowing growth in both core Europe and China, supported the US dollar. In addition, significantly lower inflation data out of Europe reduced the expected hawkishness of the European Central Bank.
• Currently, inflation, capital flows, relative growth, and yield spreads factors are driving FX Strategy positioning. P/E’s factors currently favour safe haven currencies, such as the US dollar, and those with relatively more inverted yield curves. In addition, the Fund anticipates correction in currencies with extreme speculative positioning.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/201299380.pdfFebruary, 2023
The Fund returned 9.70%, net of fees, in February 2023.
During the month, crowded long speculative positioning in certain currencies, most notably the euro, began to unwind. Similar periods of speculative unwinding occurred in early 2021 and in 2018. Given 2023 extremes, P/E are forecasting a significant rebound in the US dollar, versus the euro and Australian dollar, over the next few months. P/E notes that these views remain contrarian to the stated forecasts of many market participants.
Currently, the factors driving FX positioning are diverse. The importance of the relative long term rates factor has increased, while the significance of the relative growth factor has moderated. The inflation factor has also risen in significance. Overall, P/E’s factors favour the currencies of economies with relatively more inverted yield curves, relatively stronger growth prospects, and positive economic surprise. P/E also anticipates correction in currencies with extreme speculative positioning.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/197947103.pdfDecember, 2022
The Fund returned -5.27%, net of fees, in December 2022.
The Japanese yen strengthened considerably during the month, when the Bank of Japan widened the band on its Yield Curve Control (YCC) policy. Short term rates in Japan remain at 0%; however, Japanese 10 Year Notes can now yield up to 0.5%, versus 0.25% prior to the announcement. While this change was not material, it did fuel investor expectations of greater moves in the future. The US Federal Reserve and European Central Bank both raised rates by 50 bps in December; still, investors interpreted these moves divergently, seeing a more dovish Fed and a more hawkish ECB. Over the past two months, changes in speculative positions, rather than material changes in fundamental factors, have driven currency prices. Investors liquidated speculative long US dollar positions in November. In December, speculative short US dollar positions grew crowded. This crowding should support the US dollar into January.
Currently, the main factors driving FX positioning are 1) relative growth expectations, where countries with higher growth expectations are more attractive, 2) yield curve characteristics, where steeper curves are more attractive, and 3) capital flows, where the level of speculative positions has become material.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/195265785.pdfNovember, 2022
• The Fund returned -9.29%, net of fees, in November 2022.
• The US dollar weakened during the month as weaker inflation data spurred liquidation. While global speculators held net long US dollar positions mid-month, by month end, global speculators were net flat. Still, this movement was likely corrective, as the Fund’s fundamental drivers remained relatively unchanged. More specifically, positive relative growth, and elevated global inflation, are positive for both the US dollar, and for other safety currencies. US growth continued to outpace growth in other regions during November, supported by strong employment and liquidity conditions. P/E’s factors continue to indicate stronger growth in North America versus other parts of the world, and a strengthening of the US dollar, the Canadian dollar, and the Mexican peso, relative to the euro, the British pound, the Australian dollar, and the Japanese yen.
• Currently, the main factors driving FX positioning are 1) relative growth expectations, where countries with higher growth expectations are more attractive, 2) long term rates, where higher rates are more attractive, and 3) capital flows, where investors have been buying US assets versus those of Europe or Asia.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/193657071.pdfOctober, 2022
The Fund returned 0.25%, net of fees, in October 2022.
The performance of the US dollar was mixed during the month despite strong relative US growth, and significant global inflation. US growth continued to outpace growth in other regions, supported by strong employment and liquidity conditions. The US Federal Reserve, along with most central banks, excluding Japan, reiterated their resolve to fight inflation; however, some central banks, such as the Reserve Bank of Australia, reduced the speed of these rate increases. P/E’s factors continue to indicate stronger growth in North America versus other parts of the world, and a strengthening of the US dollar, the Canadian dollar, and the Mexican peso, relative to the euro, the British pound, the Australian dollar, and the Japanese yen.
Currently, the main factors driving FX positioning are 1) relative growth expectations, where countries with higher growth expectations are more attractive, 2) long term rates, where higher rates are more attractive, and 3) capital flows, where investors have been buying US assets versus those of Europe or Asia.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/192524309.pdfSeptember, 2022
• The Fund returned 6.80% in September 2022.
• The US dollar appreciated against most currencies during the month, driven by higher global inflation, increased central bank tightening, and continued strong growth in the US relative to other countries. More specifically, global inflation, already elevated due to Russia’s invasion of Ukraine and the resultant impact on energy prices, broadened to include a wide variety of goods and services. The US Federal Reserve, along with most central banks, excluding Japan, reiterated their resolve to fight inflation, raising market expectations of future rate increases. Finally, US growth continued to outpace growth in other regions, supported by strong employment and liquidity conditions. P/E’s factors continue to indicate stronger growth in North America versus other parts of the world, and a strengthening of the US dollar, the Canadian dollar, and the Mexican peso, relative to the euro, the British pound, the Australian dollar, and the Japanese yen.
• Currently, the main factors driving FX positioning are 1) relative growth expectations, where countries with higher growth expectations are more attractive, 2) long term rates, where higher rates are more attractive, and 3) capital flows, where investors have been buying US assets versus those of Europe or Asia.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/191770753.pdfAugust, 2022
The Fund returned 5.40% in August 2022.
Growth continued in the United States during August, while inflation remained elevated. At the annual Jackson Hole Economic Symposium, US Federal Reserve Chairman Jerome Powell signalled that interest rates would continue to increase, and that reductions would be unlikely during 2023. As a result, the US dollar remained strong versus most currencies. In Europe, growth concerns continued to rise as high energy prices pushed economies toward recession. P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a strengthening of the US dollar, especially against the euro and the Australian dollar.
Currently, the main factors driving FX positioning are 1) relative growth expectations, where countries with higher growth expectations are more attractive, 2) long term rates, where higher rates are more attractive, and 3) capital flows, where investors have been buying US assets versus those of Europe or Asia.".
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/190840671.pdfJuly, 2022
The Fund returned 1.61% in July 2022.
To combat persistent inflation, the US Federal Reserve continued to increase rates in July 2022, pushing the US dollar through parity versus the euro. Later in the month, positive corporate earnings, and investor expectations of slowing rate increases, strengthened equity markets and reduced investor risk aversion. P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a strengthening of the US dollar, especially against the euro and the Australian dollar.
Currently, the main factors driving FX positioning are 1) relative growth expectations, where countries with higher growth expectations are more attractive, 2) long term rates, where higher rates are more attractive, and 3) capital flows, where investors have been buying US assets versus those of Europe or Asia.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/189766682-1.pdfJune, 2022
Global equity markets moved sharply lower in June amid tightening financial conditions and rising risks of recession, while fixed income markets also suffered as inflation kept central banks on a hawkish path. The MSCI World Index and the JPM Global GBI were down 8.1% and 1.3% respectively (hedged to the Australian dollar). The fund return was positive. • Inflation data surprised to the upside in June, which prompted many central banks across developed and emerging markets to further tighten monetary policy. A stronger-than-anticipated Consumer Price Index (CPI) print and move higher in inflation expectations in the US saw the Federal Reserve raise interest rates by 75 basis points for the first time in nearly three decades, a move that was at the upper end of expectations. In Europe, upwards pressure on headline inflation was broad-based and the European Central Bank turned more hawkish by announcing it would move to normalise policy, with the first rate hike of the cycle anticipated next month. Market concerns shifted away from decelerating growth towards higher inflation and, against this backdrop, we removed our long US and Australian sovereign bond strategies and switched our long Japanese yen exposure to long US dollar.
• Growth data showed rising risks of moving from a global slowdown into contraction, with weakness in incoming business surveys and consumer data outside of China, which is re-opening following Covid-induced lockdowns. Against this backdrop of weaker growth and tighter financial conditions, risk assets sold off sharply. Our long equity strategies detracted in aggregate, with higher growth and consumer exposures weighing on returns. However, the market moves benefited the fund more broadly, as we had moved to be positioned more defensively overall. Strategies held to provide protection from a risk-off environment, particularly our short-biased equity futures and options in the US and Europe, contributed positively. Our short US and European high yield strategies held via credit default swaps were also additive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/189766682.pdfMay, 2022
The Fund returned -4.09% in May 2022.
• The moves of major currencies during the first half of the quarter were partially reversed in May as China began to loosen its Covid-19 restrictions, and European central bankers took a more hawkish tone. During the month, the euro bounced off its five-year lows versus the US dollar, and the Australian dollar broke its one-year low versus the US dollar. P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a strengthening of the US dollar, especially against the euro and the yen. • Currently, the main factors driving FX positioning are 1) relative growth expectations, where countries with higher growth expectations are more attractive, 2) long term rates, where higher rates are more attractive, and 3) capital flows, where investors have been buying US assets versus those of Europe or Asia.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/187690245.pdfApril, 2022
•The Fund returned 14.30% in April 2022.
• •During the month, increased risk in global markets, and China’s devaluation of the yuan, were catalysts for significant moves toward safe-haven assets, particularly the US dollar. In addition, commodity prices stabilised as the war in Ukraine became a new normal. While past performance is not indicative of future performance, P/E note that the strategy has historically performed well during periods of increasing volatility. P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a strengthening of the US dollar, especially against the euro and the yen.
• •Currently, the main factors driving FX positioning are 1) relative growth expectations, where countries with higher growth expectations are more attractive, 2) capital flows, where investors have been buying US assets versus those of Europe or Asia, and 3) long term rates, where higher rates are more attractive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/187109989.pdfMarch, 2022
The Fund returned -0.88% in March 2022.
• During the month, increased uncertainty regarding the Ukraine-Russia conflict, and the potential for a peace agreement roiled FX markets. During the full quarter, the euro and Japanese yen weakened as a result of the changing global interest rate environment. Specifically, longer term yield spreads in Europe and Japan continued to widen versus those in the US. P/E's newest factor, relative growth expectations, continued to favour the US versus other parts of the world. P/E continues to expect the US Federal Reserve will be increasingly hawkish in the months ahead as higher global inflation data outstrips investors' high expectations. Both monetary changes and geopolitical events should continue to increase volatility in 2022. P/E's factors continue to indicate stronger growth in the US versus other parts of the world, and a strengthening of the US dollar, especially against the euro and the yen.
• Currently, the main factors driving FX positioning are 1) relative growth expectations, where countries with higher growth expectations are more attractive, 2) long-term yield spreads, where higher yields are more attractive, and 3) capital flows, where investors have been buying US assets versus those of Europe or Asia
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/185954942.pdfFebruary, 2022
The Fund returned -3.14% in February 2022.
• During the month, the euro strengthened on increased expectations that the European Central Bank will end quantitative easing in Q2 and begin raising rates by the end of the year. By contrast, Russia’s invasion of Ukraine at the end of the month negatively impacted the euro. Looking forward, P/E expects that the US Federal Reserve will be increasingly hawkish in the months ahead, as global inflation continues. Further, the war in Ukraine should continue to increase market volatility. P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a strengthening of the US dollar, especially against the euro.
• Currently, the main factors driving FX positioning are 1) capital flows, where investors have been buying US assets versus those of Europe or Asia, 2) relative growth expectations, where countries with higher growth expectations are more attractive, and 3) economic surprise, where commodity currencies are less attractive, and base currencies, such as the US dollar, are more attractive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/185019004.pdfJanuary, 2022
The Fund returned 5.11% in January 2022.
• During the month, the US dollar strengthened significantly against most other currencies. The US Federal Reserve grew increasingly hawkish during the month, driving market expectations of significant rate increases over the next year. In addition, higher global inflation data outstripped investors’ already high expectations. As a result, P/E anticipates increasing volatility in 2022. P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a strengthening of the US dollar. • Currently, the main factors driving FX positioning are 1) capital flows, where investors have been buying US assets versus those of Europe or Asia, 2) relative growth expectations, where countries with higher growth expectations are more attractive, and 3) economic surprise, where commodity currencies are less attractive, and base currencies, such as the US dollar, are more attractive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/183937221.pdfDecember, 2021
The Fund returned -3.32% in December 2021.
• During the month, as real US growth and inflation continued to outstrip expectations, the US Federal Reserve embarked on a new tightening path. As a result, P/E anticipate increasing volatility in 2022. P/E’s strategy has historically performed well during such periods. During 2021, most currencies weakened substantially versus the US dollar, especially the Japanese yen. Entering 2022, P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a strengthening of the US dollar. • Currently, the main factors driving FX positioning are 1) relative growth expectations, where countries with higher growth expectations are more attractive, and 2) economic surprise, where commodity currencies are less attractive, and base currencies, such as the US dollar, are more attractive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/182475203.pdfNovember, 2021
The Fund returned 8.70% in November 2021.
• During the month, as real US inflation continued to outstrip expectations, the US Federal Reserve embarked on a new tightening path. In response, most currencies weakened substantially versus the US dollar, with the exception of the Japanese yen, which strengthened. Overall, P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a strengthening of the US dollar.
• Currently, the main factors driving FX positioning are 1) relative growth expectations, where countries with higher growth expectations are more attractive, and 2) economic surprise, where commodity currencies are less attractive, and base currencies, such as the US dollar, are more attractive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/181819226-1.pdfSeptember, 2021
The Fund returned 4.42% in September 2021.
• Risk aversion increased in September, with the US Federal Reserve signalling that they are likely to taper quantitative easing at their next meeting. Yields increased globally as inflation pressures continued to rise. Overall, P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a rebound in the US dollar.
• The Fund focuses on fundamental factors, employing a Bayesian statistical process to forecast currency returns. Currently, the main factors driving FX positioning are 1) economic surprise, where commodity currencies are less attractive, and base currencies, such as the US dollar, are more attractive, and 2) the short end of the yield curve, where countries with steeper yield curves look more attractive. This favours the US dollar versus the euro and the Swiss franc.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/180202401.pdfAugust, 2021
The Fund returned 0.78% in August 2021.
• The US dollar strengthened early in the month as the COVID-19 Delta variant gained traction globally and gave rise to renewed economic uncertainty. Safe haven currencies, such as the US dollar, Japanese yen, and the Swiss franc, outperformed early in the month. P/E saw a reversal in the latter part of the month as expectations for tapering by the US Federal Reserve lessened after Chairman Jay Powell’s speech at Jackson Hole. Looking forward, P/E continues to expect that higher global inflation data will increase pressure on central banks to curtail their quantitative easing programs. P/E also continues to note positive yield curve spreads between the US and both Australia and the Euro area. Overall, P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a rebound in the US dollar.
• The Fund focuses on fundamental factors, employing a Bayesian statistical process to forecast currency returns. Currently, the main factors driving FX positioning are 1) the short end of the yield curve, where countries with steeper yield curves look more attractive, and 2) economic surprise, where European currencies are less attractive. This favours the US dollar versus the euro, Japanese yen and the Swiss franc.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/178968506.pdfJuly, 2021
The Fund returned 2.20% in July 2021.
• During the month, the US dollar strengthened versus commodity currencies as the COVID-19 Delta variant gained traction globally and gave rise to renewed economic uncertainty. Safe haven currencies, such as the US dollar, Japanese yen, and the Swiss franc, outperformed during July. Looking forward, P/E continues to expect that higher global inflation data will increase pressure on central banks to curtail their quantitative easing programs. P/E also continues to note positive yield curve spreads between the US and both Australia and the Euro area. Overall, P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a rebound in the US dollar.
• The Fund focuses on fundamental factors, employing a Bayesian statistical process to forecast currency returns. Currently, the main factors driving FX positioning are 1) the short end of the yield curve, where countries with steeper yield curves look more attractive, and 2) economic surprise, where European currencies are less attractive. This favours the US dollar versus the euro, Japanese yen and the Swiss franc
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/175739276.pdfJune, 2021
The Fund returned 7.97% in June 2021.
• During the month, the US dollar strengthened versus European and commodity currencies as the US Federal Reserve signalled that they may raise rates earlier than previously expected. Looking forward, P/E expects that higher global inflation data will increase pressure on central banks to curtail their quantitative easing programs. P/E continues to note significant investor crowding in long Australian dollar and euro positions, typically a sign of short-term risk. Overall, P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a rebound in the US dollar.
• The Fund focuses on fundamental factors, employing a Bayesian statistical process to forecast currency returns. Currently, the main factors driving FX positioning are 1) the short end of the yield curve, where countries with steeper yield curves look more attractive, and 2) economic surprise, where European currencies are less attractive. This favours the US dollar versus the euro, Japanese yen and the Swiss franc.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/174350591.pdfMay, 2021
The Fund returned -2.93% in May 2021.
• During the month, the US dollar weakened versus European currencies. P/E’s projections have not changed materially from last month, with P/E continuing to note significant investor crowding in long Australian dollar and long euro positions, typically a sign of short-term risk. Overall, P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a rebound in the US dollar. • The Fund focuses on fundamental factors, employing a Bayesian statistical process to forecast currency returns. Currently, the main factors driving FX positioning are 1) the short end of the yield curve, where countries with a steeper yield curve look more attractive, and 2) economic surprise, where European currencies are less attractive. This favours the US dollar versus the euro, Japanese yen and the Swiss franc.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/173025748.pdfApril, 2021
The Fund returned -5.87% in April 2021.
• During the month, the US dollar weakened versus European currencies, and to a lesser extent, versus commodity currencies. P/E’s outlook has not changed materially from last month, with P/E continuing to note significant investor crowding in long Australian dollar and euro positions, typically a sign of short-term risk. Overall, P/E’s factors continue to indicate stronger growth in the US versus other parts of the world, and a rebound in the US dollar.
• The Fund focuses on fundamental factors, employing a Bayesian statistical process to forecast currency returns. Currently, the main factors driving FX positioning are: 1) the short end of the yield curve, where countries with a steeper yield curve look more attractive, 2) economic surprise, where European currencies are less attractive, and 3) the long end of the yield curve, where a steeper yield curve has increased attractiveness. This is benefiting the US dollar. Low yielding currencies, such as the euro, Japanese yen and the Swiss franc, are less attractive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/171428070.pdfDecember, 2020
The Fund returned -7.02% in December 2020.
During the month, the Fund continued to hold defensive positions in anticipation of risk aversion. Looking forward, P/E notes significant investor crowding in long Australian dollar and euro positions, typically a sign of short-term risk. Overall, P/E’s factors continue to point to slower global growth and a rebound in the US dollar.
The Fund focuses on fundamental factors, employing a Bayesian statistical process to forecast currency returns. Currently, four main factors are driving FX positioning: 1) commodity prices, where countries with lower commodity price sensitivity are more attractive, 2) long-term rates, where low yielding, safe haven currencies, such as the Japanese yen and the Swiss franc, are less attractive, 3) capital flows, where crowded trades such as the euro and Australian dollar are less attractive, and finally, 4) the long end of the yield curve, where steeper curves are more attractive.
File: https://commentary.quantreports.net/wp-content/uploads/2021/01/163555441.pdfticker: MAQ5143AU
release_schedule: Monthly
commentary_block: Array
factsheet_url:
https://investmentcentre.moneymanagement.com.au/factsheets/mi/nu4k/pe-global-fx-alpha
Right sidebar -> Quick links -> Provider’s own factsheet
https://investmentcentre.moneymanagement.com.au/factsheets/mi/nu4k/p-e-global-fx-alpha
asset_class: Alternatives
asset_category: Macro
peer_benchmark: Alternatives - Macro Index
broad_market_index: Credit Suisse AllHedge Global Macro Index
structure: Managed Fund
manager_contact_details: Array
fund_features:
The Fund aims to generate long-term total returns by investing in exchange-traded futures providing exposure to developed market and emerging market currencies. P/E Global’s investment process involves the use of a disciplined and dynamic quantitative model to determine positions held by the Fund. The model relies on statistical analysis to forecast returns and volatilities for currencies based on underlying fundamental factors which P/E Global believes drive exchange rates.