The Swiss banking group Syz has launched Oyster ForExtra Yield EUR, a new sub-fund of its Oyster Funds Sicav.
The sub-fund seeks to take advantage of the high interest rates paid by certain currencies.
This strategy has been tested for two years before being made available today in the form of a Ucits III fund.
Each month its assets are invested via forward foreign-exchange contracts in the five currencies having the best risk/return ratio. Macro-economic filters developed by the bank allow the downside risks to be limited in periods of market turbulence.
Although it is still reserved for institutional clients, the fund will shortly be registered in a number of European countries, including Switzerland, which will enable it to be accessible to the general public.
The investment universe comprises all the currencies of the MSCI World and MSCI Emerging Markets indices, with the exception of some illiquid markets. In order to focus on the most worthwhile currencies, each month the managers select the five currencies having the best risk/return ratio, measured by the interest rate differential with the euro, divided by the expected volatility. The fund’s assets are then invested with an equal weighting in these five currencies, via one-month forward foreign-exchange contracts or non-deliverable forwards for the currencies that are non-convertible or subject to restricted convertibility. The cash is invested in short-term deposits in the reference currency.
In October 2010 the five currencies selected were the Brazilian real, the Indian rupee, the Polish zloty, the South African rand and the Turkish lira.