Citi & Wegelin Launch Ground-Breaking Portfolio of Foreign Exchange Strategies

Citi and Wegelin Asset Management are jointly launching a novel portfolio of systematic trading strategies that allows qualified investors to access foreign exchange as an asset class. These strategies are the result of several years of joint research and development by CitiFX Quantitative Investor Solutions and Wegelin Asset Management.

The world’s leading Foreign Exchange analytical team at Citi has partnered with Wegelin Asset Management to jointly design this innovative set of six quantitatively based currency strategies. The strategies were conceived to generate robust risk-adjusted returns by investing in foreign currency spot, forward and option contracts. In addition to four directional strategies in currency forwards, the portfolio also benefits from two long and short volatility models. The portfolio utilizes models with a variety of investment objectives, horizons, methods of execution, and risk filters. The result is a diversified portfolio, which seeks to opportunistically capture alpha returns from the world’s largest and most liquid financial market.

The strategies are currently available in EUR and CHF (with USD and JPY soon to be added).

The CitiFX Quantitative Investor Solutions team is a dedicated unit within Citi’s Foreign Exchange division. With well over one hundred years of combined investment experience, the team is globally recognized as an industry leader in systematic FX trading strategy analysis and development.