P/E Global FX Alpha Fund
About this Fund
|FUND MANAGER||P/E Global LLC|
|INVESTMENT STYLE||The Fund holds both long and short positions in futures and OTC FX forwards. The Fund will also hold cash and cash equivalents.|
|INVESTMENT PROFILE||The Fund aims to generate long-term total returns by investing in exchange-traded futures providing exposure to currencies and gold.|
|CURRENCY MANAGEMENT||Active management|
|BENCHMARK||RBA Cash Rate|
|FUND SIZE||RBA Cash Rate|
|NO. OF HOLDINGS|
|FEES||1.88% p.a. of the NAV of the Fund|
Benefits of investing in the P/E Global FX Alpha Fund
The Fund employs specialist trading and investment techniques that involve the use of short positions and derivatives. You should only consider investing in the Fund if:
|RISK LEVEL||Very High|
About the Fund
The Fund aims to deliver investors long-term absolute returns via exposure to developed and emerging market currencies.
Global FX exposure
Systematic statistical approach
Potential for long-term absolute returns
P/E Global LLC (P/E) is a quantitative absolute return currency manager, developing strategies that leverage the firm's extensive experience in portfolio management, asset allocation, market analysis and risk management. Founded in 1995 in Boston, Massachusetts, P/E believes effective diversification, thorough analysis, and consistent risk management can lead to superior investment performance.
How we invest your money
P/E Global's investment process combines new and existing information in an adaptive framework to predict future currency movements.
The strategy is based on P/E Global's belief that:
P/E Global's investment process involves the use of a disciplined and dynamic quantitative model to determine the positions held by the Fund. The model relies on statistical analysis to forecast returns and volatilities for currencies based on underlying fundamental factors. P/E Global's investment process is systematic', which means that the vast majority of the Fund's portfolio exposures are based on the forecasts generated by P/E Global's model, other than rare instances where P/E Global deems the circumstances to be exceptional and may intervene to reduce risk.
P/E Global defines fundamental factors as economic inputs which they believe drive currency movements over time. These factors may include but are not limited to interest rates, inflation, credit spreads, and capital flows.
P/E Global undertakes statistical analysis of each of the fundamental factors independently to forecast returns and volatility for each of the currencies within the portfolio. For each fundamental factor, forecast returns are compared to actual returns at each step in time to determine the forecast error for each fundamental factor. P/E Global then weights the fundamental factors based on their forecast errors. Those factors with a lower forecast error receiving a higher weighting and vice versa. Forecast errors are fed back into the model as a signal for refinement of the model. P/E Global then calculates the expected returns for the currencies based on the fundamental factor weightings.
P/E Global combines the expected returns and the expected risk for the currencies, based on the forecast errors, to generate an optimised portfolio of long and short currency positions for the Fund.
Multi-layered risk management is embedded into P/E's investment process: