Investment Objective:

Millennium's currency management objective is to provide investors with total returns through active participation in global currencies and related markets. These returns are expected to have a low correlation with equity and bond markets, hence providing investors with reasonable diversification from traditional asset classes.

Investment Philosophy:

Our currency investment style focusing on the analysis of relative fundamental factors helps determine future currency trends, combined with the analysis of technical and market dynamics. In addition, we analyse risk at both portfolio and individual trade level, with the objective of truncating downside risk while permitting return maximisation.

Investment Process:

• Development of market forecast. This is based on the fundamental analysis on a relative basis with the aim to determine the direction of the currency pairs.

• Efficient implementation. Relating to the importance of timing, this is achieved through the analysis of market dynamics and the use of the most cost-efficient instruments (forwards/options).

• Risk management. The statistical approach utilises a value-at-risk framework to assess the daily market risk and calibrate the diversification within the portfolio. An internal non-statistical process measures the risk exposure for each individual position. This technique, known as risk-adjusted trade size (RATS), focuses upon minimising drawdown potential by exiting trades rapidly should stop-loss limits be reached.