Currency Risk Management
- Long-standing partnership with PPI in the exclusive domain of Currency Risk Management
- PPI & MFCM employ a quantitative, proprietary model to generate daily trading instructions using two inputs: Price & Volatility
- Determines at what point a move into a ‘fat tail’ becomes statistically probable and at that point mandates a trade
- Uses volatility as a governor for risk - adding risk in low volatility environments and lowering risk in high volatility environments
- Controls risk on trade-by-trade and a portfolio basis to ensure client risk parameters are met
- Reduce volatility
- Protect against downside risk
- Capture currency related portfolio gains
- Historical client added value ranges from 100 to 300 bps
- Reduction in volatility of 20-30%
