Morgan Stanley Investment Management (MSIM) announced today the launch of the Morgan Stanley FX Alpha Strategy for Australian investors. This actively-managed, risk-controlled investment strategy seeks to deliver absolute returns by exploiting the inefficiencies in the global currency market, the largest financial market in the world.
The Morgan Stanley FX Alpha strategy is managed by MSIM’s London-based Quantitative and Structured Solutions team, led by Managing Director Justin Simpson. The team already managed approximately A$4 billion in various similar FX strategies in other vehicles.
“Australian investors are being offered a compelling opportunity for both absolute returns and portfolio diversification with this fund,” MSIM’s Australian Executive Director Damien Green said.
“The FX Alpha strategy has low correlation with the major equity and fixed income asset classes. In addition, the strategy is designed to generate consistently positive economic returns, independent of economic conditions or cycles.
“This strategy has already attracted strong support from investors in Europe and the United States, who recognise the opportunity to access a new source of alpha,” he added.
In Australia, the strategy is available in two versions. The Morgan Stanley FX Alpha Fund will aim to target a gross annualised return of 4% above the UBS Australian Bank Bill Index, with an estimated Value at Risk (VaR) of 4.0%. The Morgan Stanley FX Alpha Plus Fund will aim to target a gross annualised return of 16% above the UBS Australian Bank Bill Index, with an estimated VaR of 16.0%.
“While the currency market has the most liquidity and highest trading volume of any asset class, we believe that there are still inefficiencies in the market, particularly forward rate bias, which will be an attractive source of alpha for investors,” said Chris Callan, Senior Portfolio Manager for the FX strategies.
The team’s flagship fund using the same strategy, the Morgan Stanley FX RC400 USD Fund, has provided cumulative returns of 11.22% versus a benchmark return (USD LIBOR) of 6.81%, as at 31st December 2007, since its inception in September 2006.
The MSIM investment team invests across a universe of 28 currencies and uses extensive quantitative and statistical modeling to construct the portfolio. In addition, the team implements a rigorous risk control framework as an integral part of the investment approach. The risk control framework includes a disciplined risk budgeting approach before investment and continuous monitoring of ongoing positions within pre-defined limits, also incorporating a ‘stop-loss’ mechanism.
The Fund is a registered managed investment scheme and is available to indirect investors via financial advisers and platforms and to direct investors who meet the minimum initial investment balance.
Direct investors should contact Morgan Stanley for a PDS and application form (firstname.lastname@example.org or telephone (02) 9770 1111). Indirect investors can invest through an IDPS by directing the IDPS operator to acquire units in the fund on their behalf. The funds are priced daily – and the unit price is equal to the value of the Fund’s assets, less liabilities, divided by the number of units on issue. These valuation methods and policies are consistent with applicable industry standards and result in unit price calculations that are independently verifiable. Latest pricing information is also available by contacting email@example.com.
Morgan Stanley Investment Management, together with its investment advisory affiliates, has nearly 800 investment professionals around the world and approximately $597 billion in assets under management or supervision as of November 30, 2007. By leveraging its global ‘community of boutiques’ structure and the strength of Morgan Stanley, MSIM strives to provide outstanding long-term investment performance, service and a comprehensive suite of investment management solutions to a diverse client base, which includes governments, institutions, corporations and individuals worldwide.
Morgan Stanley is a leading global financial services firm providing a wide range of investment banking, securities, investment management and wealth management services. The Firm's employees serve clients worldwide including corporations, governments, institutions and individuals from more than 600 offices in 33 countries. For further information about Morgan Stanley, please visit www.morganstanley.com.
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