Currency Overlay Programs
A.G. Bisset’s Currency Overlay Program was launched in 1988. The program is designed to provide protection against currency losses when currencies decline while it also permits participation in currency gains when they rise.
Currency hedges are actively placed and removed when currency trends of two to four months have been identified by Bisset's currency model. The models were developed in 1983 and have been applied to manage active currency mandates since 1988. Hedges are implemented with currency forward contracts.
The investment process is highly disciplined and systematic. The responsibility for managing client portfolios resides with the firm’s skilled currency professionals in Rowayton, Connecticut.
The overlay program can be applied to any base currency and benchmark.
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Currency Alpha Programs
A.G. Bisset’s Currency Alpha Program is an absolute return product.
It was launched in 2002 with a mandate from Holland’s largest corporate pension fund.
The Alpha Program is designed to hold portfolios of currency forward contracts to generate a total return.
The program can be applied with or without leverage.
The Alpha Program is based on Bisset’s currency model, which has been at the core of Bisset’s currency overlay program since 1988.
The Alpha Program utilizes the model’s signals to be long, neutral, or short in the major currencies and the model’s signals in their cross-rates to generate portfolios of long and short currency forward contracts.
The investment process is completely model-driven.
Since portfolios are created with currency forward contracts, there is no need for any up front cash investment.
The Alpha Program can be placed on top of any asset class to boost its return – a highly desirable feature in today’s fixed income environment with interest rates at historic lows worldwide.
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