We offer a blend of systematic and discretionary processes with emphasis on capital preservation.

Our currency strategies, both overlay and alpha, are implemented by our New York-based Currencies team.

We can calibrate our overlays’ risk budget to match your unique risk and return requirements, and as our strategy is portable by design it can be overlaid onto any portfolio.

Overlay strategies on assets worth

EUR 21.1 bn

Dedicated currency resources since

1989

16 years

average investment experience

5

dedicated currency specialists

Investment Philosophy and Process

Unhedged international bond and equity returns can be dominated by currency movements, so in our view it is important to manage currency risks separately.  We believe that hedging against adverse currency movements can significantly boost risk-adjusted portfolio returns, and an active currency strategy can further improve performance potential.

To passively hedge against currency movements, we work closely with you to tailor an optimised hedge ratio based on your existing portfolio mix.   However, we believe the best way to improve the currency hedging outcome is to use a dynamic hedge ratio that aims to capture upside movements while limiting downside potential for each currency.

If you are looking to use currencies as an asset class to enhance performance, we use a combination of quantitative analysis and qualitative judgment. Our aim is to generate excess returns by structurally exploiting certain characteristics and inefficiencies of the currency markets while managing downside risk.

  • Dynamic Currency Hedging Overlay

    Our dynamic currency hedging programme has a long track record and has shown its ability to protect portfolio value against weakening currencies and participate in upside currency movements.

    We dynamically adjust the hedge ratio based on the theory of ‘trend’,  using a systematic approach to determine the best ratio and dynamically rebalance it based on changes in market conditions.  We can apply hedging mandates to any portfolio, whether it be managed by BNP Paribas Asset Management or an external asset manager.

    • A cost-efficient way to hedge against adverse foreign exchange movements
    • Provides a better hedge against currency movements than a static hedge ratio
    • Can be used as an overlay to any portfolio
    • Customised solution based on your individual investment profile
    • Experienced investment team of dedicated global currency experts
  • Currency Alpha Strategy

    Our currency alpha strategy takes long and short positions in global currencies (approximately 10% to G20 currencies, with the remainder to G3, European and dollar-bloc countries) to produce a portfolio that is well diversified in terms of the number of currencies invested in, investment style and time horizon.  Actively managed, the strategy had a 12-year track record.

    The strategy is not managed against a benchmark. It aims to outperform one-month Libor.

    • Well-diversified absolute return global currencies strategy
    • Exploits currencies as a source of alpha in their own right
    • Three in-house models combined with judgemental overlay ensure appropriate diversification
    • Sophisticated risk control techniques aiming to reduce drawdown potential
    • Experienced investment team of 5 global currency experts