Transforming Currency Risk into Profits

Transcription

1 Transforming Currency Risk into Profits Overlay Capital LLC For more information please contact Dan Raykhman at

2 Do you know currency? Do you understand foreign currency exposure in your portfolio? Do you understand the currency risk? How do you measure this exposure and risk? What tools do you use to manage it? 2

3 Introducing Overlay Capital Overlay Capital provides Currency Hedging and Trading Services. Our offerings are fully automated, it is based on the unique machinelearning, self-correcting mathematical model and systematic approach to hedging and trading. Our model has been developed and used in one of the major banks, its been extensively back-tested, demonstrating consistent return and low volatility. 3

4 Overlay Capital Offerings Hedging Trading Signals Overlay Signals (monthly subscription) Trading Signals (monthly subscription) Service Overlay Service (dedicated service, direct execution) Trading Service (dedicated service, direct execution) 4

5 What are Overlay Capital Services? Helping customers understand foreign currency exposure. Advising customers on when and how to manage currency risk. Consulting customers on currency market structure and access. 5

6 How Overlay Capital Service works? Automated Daily Hedging Signals. Distributed via s, website or mobile messages. Providing customer specific hedging services. Generating and executing hedging orders on customer s behalf based on agreed mandate. 6

7 Overlay Capital Model Methodology Innovative adaptive methodology combines fundamental, technical and derivative indicators to create a proprietary signal used to drive trading models and overlay strategies. Incorporating elements of machine learning, the dynamic model selects and calibrates standard market indicators based on relevance at a particular moment in time. This unique methodology can be applied to a trading mandate for a currency program with a conservative, moderate and aggressive leverage options that take advantage of the multipair portfolio construction. This same methodology is the basis for the hedging product. 7

8 Overlay Capital vs. Benchmarks Unique financial modeling methodology. Flexible and expandable; Self-learning and self-correcting; Uncorrelated performance vs. all major asset classes; Overlay Capital models significantly outperforms relevant benchmarks. 8

9 Overlay Capital Advantages Passive Hedge OC Dynamic Hedge Overlay Capital Advantage EURUSD -1.88% 0.55% 2.44% USDJPY 3.47% 11.20% 7.73% GBPUSD -2.06% 1.99% 4.05% 9

10 Overlay Capital Trading Services Buy/Sell signals distributed via s, website or mobile messages. Trading services. Managing currency investment programs, generating alpha in low risk, low leverage environment. Unique portfolio based trading approach. 10

11 Currency Portfolio Models Hypothetical Performance Overlay Trading Models: January, 2012 November

12 Currency Portfolio Models Statistics Hypothetical Performance Overlay Trading Models: January, 2012 November 2016 January November 2016 Conservative Portfolio (No Leverage) Moderate Portfolio (Max Leverage 2:1) Aggressive Portfolio (Max Leverage 3:1) Total Return 59.02% 97.01% % Average Annual Return 9.77% 14.64% 17.78% Average Annual Drawdown 1.04% 2.05% 2.92% Max Annual Drawdown 1.52% 2.52% 3.43% Maximum Drawdown 1.52% 2.52% 3.43% Max Credit Utilization 100% 200% 300% Average Credit Utilization 64% 110% 146% Standard Deviation 3.75% 5.73% 7.14% Sharpe Ratio MAR Ratio

13 Currency Portfolio Models Correlations January November 2016 Moderate Portfolio Aggressive Portfolio SPX MXWO Conservative Portfolio 97.84% 94.76% -2.02% -1.33% Moderate Portfolio 99.04% -1.78% -1.35% Aggressive Portfolio -1.34% -1.26% SPX 90.37% 13

14 Overlay Capital LLC Our company was founded on a unique financial modeling approach with the mission of helping money managers and corporations with their currency hedging and currency trading needs. We strive to innovate and be as open as we can with our customers, partners and vendors. For more information please contact Dan Raykhman at: dan.raykhman@overlaycapital.com 14