Al Wilkinson, the Chicago-based portfolio manager behind Pengana Capital’s global volatility fund, is preparing to launch a strategy capitalising on the volatility of major currencies.
The strategy would aim to generate alpha by trading the volatility of the US$, Euro, British Pound and A$ by using currency options, rather than provide an overlay across portfolios to mitigate the effects of currency movements.
“We could pick up the alpha-generating side while funds have currency managers for risk management purposes,” Denis Carroll, institutional business consultant with Pengana, said.
A European investor has already committed to seeding the fund, but Wilkinson is searching for two more suitable investment staff to implement the strategy before bringing it to market.
Commenting on the A$ turnaround from its crash in late 2008, Wilkinson said it would continue to strengthen and likely reach parity with the US$ in 2010 before surpassing it as the American economy came to grips with its various problems, such as the additional debt burden caused by health care reform, high unemployment, trade imbalances and the absence of a strong manufacturing sector.