Systematic Alpha Strategy
Millennium Global has managed systematic currency strategies, which are used by both return seeking and dynamic hedging clients, since 2011.
As of 31 December 2021, our AUM in these strategies has reached to c.USD 7 billion* and we are seeing increased awareness and demand from institutional clients.
*All AUM is notional based on unfunded managed accounts.
In September 2021, we launched a Luxembourg-domiciled Systematic Alpha UCITS fund. The new Fund is intended to provide a wider universe of investors with access to Millennium Global’s systematic alpha strategy, and offers daily liquidity and a lower minimum investment than segregated accounts.
The Fund takes long and short positions in 9 developed market currencies vs. the US dollar. Positioning is driven by a proprietary systematic investment model that uses forward-looking momentum signals to determine the probability of range expansion, trend reversals and gap risk as well as currency risk premia analysed using sparse-learning techniques.
Currency markets are at the focal point of economic, financial and geo-political differentiation. Returns generated from currency markets are typically uncorrelated with other asset classes and therefore provide attractive diversification benefits within most investors’ asset allocation frameworks. Many traditional asset classes are currently highly valued, especially US equity and fixed income markets. Investors are looking elsewhere for attractive returns and this makes it an ideal time to launch the UCITS Fund.