LBBW Asset Management launches new FX fund

Germany-based LBBW Asset Management has launched LBBW Devisen 1, a new foreign exchange fund for institutional investors.

The new fund is based on the LBBW FX Carry index, which has been published by Landesbank Baden-Württemberg (LBBW) daily since 2009.

It applies a carry trade strategy, selling low-interest currencies on a short position and buying high-interest currencies on a long position.

The fund is composed of 15 currencies, half of the selected currencies will be positioned against the euro and half against the dollar.

Key factor for selecting currencies is the spread between the euro or dollar and the respective currencies. If it amounts to more than 1.5%, the fund will establish a short position in euro or dollar to the respective currency.

If the spread amounts to less than 1.5%, the fund will establish a long-position in euro or dollar and a short position on the respective foreign currency.

Gernot Griebling (pictured), head of fixed income and alternative investments at LBBW said: “A key aspect of our new fund is risk management which is integrated into our index concept.”

“We systematically identify stress situations on capital markets via our risk indicator. If the monthly stress level crosses a certain threshold, we will establish a square position until a normal risk level returns.

“We have been able to reduce risk, particularly with volatile foreign exchange markets.”

Since its launch in mid-March 2014, the fund has returned some 3%.

Mona Dohle
Mona Dohle speaks German and Dutch, she is DACH & Benelux Correspondent for InvestmentEurope. Prior to that, she worked as a journalist in Egypt and Palestine. She started her career as a journalist working for a local German newspaper. Mona graduated with an MSc in Development Studies from SOAS and has completed the CISI Certificate in International Wealth and Investment Management.

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