Overview of Investment Process

The firm’s investment philosophy is to add active return over time through disciplined research-driven quantitative fundamental management of clients’ underlying currency exposures. Lee Overlay Partners actively manages over 32 currencies.

Factors

The investment process uses only proven, repeatable signals. The investment research has been ongoing and successfully applied in practice since 1989. Through rigorous testing, Lee Overlay’s research has identified specific fundamental factors that add value by consistently generating high information ratios across the major currencies. Each factor is theoretically logical and separate, and when applied in a linear tactical framework generates a high and stable information ratio.

Active positions are proportional to cross border differences in our fundamental factors;

Lee Overlay Partners also provides currency risk control for clients by implementing client-selected benchmarks, in conjunction with active management.

Alpha Centers

The active process is based on the concept of incorporating three separate and diversified Alpha Centres:

• Alpha Centre 1: Fundamental Tactical Model maximizes the information ratio from quantitative economic factors.
• Alpha Centre 2: Current Market Trends are captured by technical signals
• Alpha Centre 3: Fundamental Market Dynamics are quantified by experienced portfolio managers, adding value and diversification through focusing on factors not included in the other Alpha Centres

Each Alpha Centre is separate, non-corruptive and additive. The positions generated by each Alpha Centre are then added together to create the recommended portfolio position.

Proven Investment Process

The firm’s research and experience indicates that it can provide high and consistent performance information ratios. Importantly this derives from:

• A process that is logical and diversified
• Many separate models and factors
• Self selected professionals who are experienced in, and dedicated to active currency overlay, with a significantly positive track record.

Risk Control

Lee Overlay Partners is committed to the highest standards of risk control in all aspects of currency management. All the systems are bespoke and allow straight through processing from asset input to settlement. All aspects of client mandates are coded into the systems infrastructure and each client is provided with a dedicated secure website with individualised reporting.

Client Service

The firm provides the highest standards of dedicated client attention and service. Clients have access to a dedicated secure website with individualised reporting.