The Fundamental Discretionary Foreign Exchange (FDFX) strategy was developed in 2009 by the senior members of our investment team led by Jonathan Ratcliffe.
Each month, FDFX systematically gathers and monitors macroeconomic data for 25 global currencies to provide an objective evaluation of the relative strength of each. Data is collated according to 10 proprietary fundamental currency drivers, ranging from Global Cycle and Political Stability to Flow.
FDFX Pure is designed to maximize conviction across the currency universe. The monthly allocation process defines a diversified portfolio of investment themes across the full universe of 25 currencies. Portfolios typically hold 14-18 positions at any one time and turnover runs at less than 8 times per annum.
In its purest form FDFX has been applied on a twice levered basis using simple FX forwards that are rebalanced monthly. The daily, twice levered, net returns for the strategy are posted on Bloomberg page “FXFDFXFD Index” or are available to registered clients.
The FDFX process has been adapted for clients looking for a simplified portfolio of currency longs and shorts. Simply, once our currencies have been ranked according to their performance in the 10 currency drivers, we apply a “Top3/Bottom3” filter to produce an unlevered portfolio of three equally weighted currency long/short pairs.
Our daily returns are posted on Bloomberg page “FXFDT3B3 Index” or are available to registered clients.
We offer a corporate advisory service to small and mid-sized companies who are looking for independent advice on managing their FX exposures. Our service extends from working with the CEOs to provide FX advice on planned acquisitions to advising their treasury and finance teams to understand their balance sheet and cash flow hedging requirements.
FDFX Premium offers clients the benefit of an additional level of discretion over the FDFX Pure portfolio. The Premium strategy seeks to minimize the volatility of the portfolio caused by short term market dynamics as well as more permanent changes in market regime. The objective is not to reverse positioning from FDFX Pure but to manage downside exposure. Where possible, option strategies are established at zero or minimal cost.
The daily gross returns for the strategy are posted on Bloomberg under the Index code CEXTNSAL <INDEX> <GO>
FDFX Prime is based on the same FDFX process but designed to maximize conviction whilst tempering volatility. Individual currency allocations are scaled for volatility and limited to a maximum of 33% per currency for both assets and liabilities.
Our daily returns are posted on Bloomberg page “FXFDPRIM Index” or are available to registered clients.