TGM’s Global Currency Alpha strategy aims to generate alpha from currency misalignment at different levels of uncertainty. It can be tailored to specific return and risk objectives of the client. TGM’s Global Currency Alpha strategy provides strong diversification benefits when mixed with other alpha strategies.
TGM’s Global Currency Alpha process is a multi-currency, long/short style strategy, that can be implemented with both currency futures and forwards. TGM’s Global Currency Alpha process incorporates purchasing power parity (PPP) as a valuation anchor for a currency used by investors in periods of increased uncertainty. We also capture other economic and financial factors that typically drive the currency markets. These factors are combined with the use of machine learning techniques.
TGM offers its Global Currency Alpha strategy as a managed account that can be tailored to specific return and risk objectives of the client.
Note: The performance numbers are Gross AUD. The returns are net of transaction costs but gross of management fees.
1 Backtest results for the period April 2005 to March 2020.
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