Institutional currency investment manager Millennium Global Investors has launched a Ucits version of its active currency strategy in the hope that a wider group of investors, including UK fund buyers, see its merits as a portfolio diversifier.
The Luxembourg Sicav was unveiled on Wednesday with more than $100m in pre-launch funding. The group, however, manages about $20bn in segregated accounts for institutional investors using its quantitative models.
The strategy, which offers daily liquidity, aims to provide returns negatively correlated to equities and bonds by using a proprietary systematic model that uses forward-looking momentum signals to take long and short positions in nine developed market currencies against the US dollar.
It is expected to have a volatility of between 10-12% and offer high single-digit returns net of fees, Millennium Global co-chief executive Mark Astley told Portfolio Adviser.
The strategy has a 1% standard fee with a performance fee of 15 basis points above a 2% hurdle rate. For early adopters of the strategy, the performance fee is 25 basis points.
The ultimate macro view
Astley said currency markets represent the “ultimate macro view” because they are at the focal point of economic, financial and geo-political differentiation.
He said: “In the last couple of decades, we’ve had the great financial crisis and the pandemic, and all kinds of geopolitical tensions. Now is the ideal time to exploit this as we come out of the pandemic and have differentiation between what central banks are doing and what different fiscal authorities are doing.
“The ultimate arbiter of these tectonic plate shifts is the currency market.”
Millennium Global co-CIO and head of systematic investments Umberto Alvisi said: “We are seeing growing demand for our return-seeking and hedging programmes from large institutions. We think that the current environment is favourable for our strategy and are pleased to be able to make it available to a wider audience.”