7orca Asset Management AG (7orca) has introduced a quantitative investment process to actively hedge currency risks. A proprietary machine learning model will complement this and further improve the performance characteristics of the overlay.
Active currency overlay mandates are an important component of institutional portfolios. They enable investors to manage their currency risk in a dynamic way. The gist is to participate in advantageous price developments and to be efficiently secured in case of disadvantageous price developments.
Ulrich Janus, senior quant researcher at 7orca, has developed a machine learning model with the 7-member quant research team of 7orca to analyse complex patterns in price movements that are otherwise tough to identify.
Artificial intelligence methods require deep expertise and offer significant potential for developing successful backup strategies.
“Innovations in all dimensions are essential value drivers for our customers. By extending our proven investment process to artificial intelligence techniques, we have created another essential building block for a performance-oriented active currency overlay,” said Tindaro Siragusano, CEO of 7orca.