Currency alpha – the liquid uncorrelated alternative | Insight Investment

"We want to provide consistent performance across diverse environments, while seeking a low correlation with equity and bond markets."

We see persistent sources of return in currency markets, derived from economically intuitive risk factors. These returns can be cross-referenced to historical economic data and have been largely uncorrelated with equity and bond markets.

At Insight our approach is to blend six uncorrelated drivers of currency returns, five quantitative: carry, momentum, value, volatility, and quality, alongside one macro fundamental driver. Each factor represents a distinct driver of currency returns and captures different economic risks and behavioural market effects. This approach delivers diversification through currencies, currency drivers, and our differentiated portfolio construction methodology. 

We want to provide consistent performance across diverse environments, while seeking a low correlation with equity and bond markets.