FX Concepts plans to increase the use of fx options in its currency overlay program, Ron DiRusso, portfolio manager in New York, told DI in an interview. The change, which will include the use of more sophisticated strategies than the hedge fund has typically used, is aimed at providing alternative hedging strategies for clients with overseas exposures. FX Concepts had around USD4.3 billion in assets under management in December, according to reports.
“We have used options to hedge individual exposure in the past using very simple collar type strategies, [but] we now employ more sophisticated techniques to protect downside while not giving away much upside,” said DiRusso. “For example, we have a pairs-based strategy which analyzes which pairs are expensive or cheap. This strategy will look to sell volatility in the expensive pair while buying in the cheap pair. This type of a strategy could significantly reduce the cost ....