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Currency Overlay and Alpha Strategies Strong Performance in 2014

In 2014, Millennium Global currency strategies performed notably well with discretionary programmes posting their best returns since 2003 and systematic programmes making substantial gains.

 

 Year to end December-2014 Performance:

Currency Overlay Strategy (target volatility 3%):

Millennium Global Active Currency Overlay returned 3.50% gross of fees1

 

Currency Alpha Strategies (target volatility 15%):

Millennium Global Currency Alpha returned 17.44% net of fees2

Millennium Global Systematic Currency Alpha returned 16.51% net of fees3

Millennium NeXuS Currency Alpha, which combines discretionary and systematic styles, returned 16.00% net of fees4

 

The second half of 2014 saw a material pick-up in FX volatility and significant and sustained moves among major currencies driven by increased monetary policy and cyclical differentiation. It is no co-incidence that Millennium Global’s investment programmes, which focus on economic fundamentals and macro-discrimination, performed strongly in this period. We expect this market environment to continue during 2015. This will bring currency into greater focus among institutional investors, that are seeing currency moves having a significant impact on their international investment portfolios, and present specialist currency managers opportunities to continue to generate strong risk-adjusted returns.

Mark Astley, Chief Executive Officer

 

 

1. Millennium Global Active Currency Overlay. Source: Millennium Global, 1 January 2014 to  31 December 2014.  The returns shown here are Millennium’s gross excess returns over the benchmark. The returns shown above are based on Millennium’s longest standing overlay programme, managed for an Institutional client since 1996. To achieve actual performance, potential investors should deduct actual management/performance fees (management/performance fees vary for each client due to mandate size and scope of investment guidelines applicable to individual clients) along with all account operating costs.

2. Millennium Global Currency Alpha Strategy. Source: Millennium Global, 1 January 2014 to 31 December 2014. Representative net returns herein are based on Millennium Global’s longest running active currency programme. Net returns provided above have been calculated on a fixed programme size of USD100 MN by applying Millennium’s standard fee schedule for a 15% target volatility alpha strategy of 1.0% p.a. management fee and 15% performance fee (payable quarterly and subject to a high water mark) to the volatility adjusted monthly gross excess returns of Millennium Global’s longest running currency programme.

3. Millennium Global Systematic Currency Alpha Programme. Source: Millennium Global. Returns for 1 January 2014 to 31 December 2014 are based on a live and representative programme. Net returns provided herein have been calculated by applying management fees of 1% p.a. and a 15% performance fee (payable quarterly and subject to a high water mark) to the gross returns of Millennium Global Systematic Currency Alpha Programme.

4. Millennium Global Nexus Currency Alpha Programme. Source: Millennium Global. Returns for 1 March 2014 to 31 December 2014 are based on a live and representative programme. Net returns provided herein have been calculated by applying management fees of 1% p.a. and a 15% performance fee (payable quarterly and subject to a high water mark) to the gross returns of Millennium Nexus Currency Alpha Programme.

Past Performance is not a guide to future returns and the value of investments may fall as well as rise. An investor may lose all or a substantial amount of their investment. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. Certain accounting assumptions have been made and some unreconciled and/or estimated values  used in compiling this report, reasonable people may disagree with the assumptions used and expectations developed there from (estimated data should not be relied upon as it is based on unreconciled data and therefore subject to change). Distribution of this information to any person other than the person to whom this information was originally delivered and to such person's advisors is unauthorised and any reproduction of these materials, in whole or in part, or the disclosure of any of the contents, without the prior consent of the Millennium  in each such instance is prohibited. URN 100502


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Founded in 1994, we are an independent institutional asset manager based in London specialising in currency investment management for institutional clients globally.
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We provide currency management solutions including risk mitigation strategies, active management of existing risk, absolute return products and advisory services.
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