Auriel Currency strategy

Investment philosophy
Auriel Capital’s strategy is based on a systematic, relative value approach to currency investment. We believe that the most consistent way to generate absolute returns is through a diversified, risk-budgeted approach, across multiple alpha-generation models in foreign exchange markets. Further, we believe that fundamental, economic, sentiment and technical factors drive currency returns globally and through rigorous research, we can identify and develop quantifiable models that can be systematically traded for profit.

We strive to implement models that have ex-ante sensibility, a strong theoretical foundation and are consistent across market regimes and through time. We believe strongly in diversification by model.

Our competitive advantage is the thoroughness and speed of model development, thoroughness of risk management, plurality of research ideas and small size.

Investment process
We are focused on the research and development of proprietary trading signals that seek to identify various valuation, sentiment or technical anomalies present in the global markets. We aim to explore twenty ideas per year. Every research idea must have a theoretical rationale. Additionally, we must believe that the market anomaly investigated will continue to work in the future.

The next step is to gather, clean and lag historical data for the empirical investigation after which an initial suite of analytical tests is run and a report is produced for the partners to review.

Depending on the outcome of the results, we begin robustness testing. We need to ensure that the alpha decay does not preclude us from trading the model, the alpha is generated from all assets in the universe, and the model has worked through different market regimes.

Lastly, the new model must be additive to the strategy.

Auriel Currency Managed Accounts

Auriel Currency Pooled Vehicle

Please note that you must be logged in to access the above links.