Aug
30

Quant Hedge Fund Gives Robots 364 Days Off to Top Currency Peers

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  • Systematic models make calls only once a year each January
  • PGI’s Global Time Diversified Strategy returns 13.8% in 2016

Like a lot of hedge funds, Principal Global Investors’ Macro Currency Group uses computer-driven models to devise trading strategies. What sets it apart is that its machines only make calls once a year.

Each January, the computers’ longer-term economic projections establish the firm’s key trading positions for the next 12 months. The bets don’t always seem intuitive at the time. At the start of this year, the models projected the yen would appreciate against Swiss franc, even as forecasters saw the pair little changed in 2016…

Quant Hedge Fund Gives Robots 364 Days Off to Top Currency Peers

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