Uncorrelated return by investing in FX Factor strategies
The 7orca FX Return Fund offers institutional investors an innovative, systematic and scientifically sound investment strategy focussing on sources of return on the currency market.
Systematic utilisation of FX Factor strategies
- Income opportunities in every market phase - even in times of crises
- Proven multi-factor strategies that are scientifically validated
- Efficient risk management through defensive strategy modules
- Complementary strategies that act independently of each other
- Low correlation with traditional asset classes such as equities and bonds
Targeted diversification and risk management techniques combine the strengths of individual strategies to achieve an optimised risk/return profile at overall fund level.
Currency movements are influenced by a variety of macroeconomic, geopolitical and market-psychological factors. A data-driven multi-factor approach makes it possible to utilise these dynamics in a structured and disciplined manner.
Currency market offers systematic sources of income
The currency market is the largest financial market in the world with high liquidity and a heterogeneous market structure. Unlike equities or bonds, currencies do not generate ongoing returns such as interest or dividends.
Nevertheless, they offer systematic sources of return that can be captured by quantitative models.
The 7orca FX Return strategy specifically utilises structural inefficiencies that arise from market players that are not primarily profit-oriented (e.g. central banks, companies hedging foreign currency risks). These transactions, which are not purely profit-orientated, can lead to temporary price distortions or exaggerations.
The 7orca FX Return makes currencies investable as an investment strategy and offers investors UCITS-compliant access.
Diversified fx factor strategies
7orca FX Return
The 7orca FX Return is fundamentally independent of developments on the equity or bond market. The currency factors show a convincing diversification to equity and bond indices. In the long-term simulation, but also since the fund was launched, this is reflected in uncorrelated returns. Market-adaptive elements in the design also ensure performance stabilisation in times of global crisis. The 7orca FX Return is therefore recommended as a long-term building block in a balanced portfolio and offers an alternative source of return with an attractive target return.
The 7orca FX Return fund is virtually uncorrelated to traditional asset classes and can therefore help institutional investors to sustainably improve their risk-adjusted returns.
Performance almost independent of share performance and interest rate regime
Investment philosophy
The 7orca FX Return Fund pursues an ensemble approach based on a combination of complementary FX Factor strategies. These strategies enable systematic risk premia on the currency market to be realised efficiently.
The strategy is implemented via derivatives, which ensures high capital efficiency. The fund is invested in short-term bonds in euros with high credit ratings.
Reduction in volatility - 7orca FX Return compared to traditional asset classes
Comparison of the 7orca FX Return portfolio with a portfolio consisting of traditional asset classes. The assets in both portfolios are equally weighted according to their volatility. The volatility of both portfolios adds up to around 20%. The volatility at portfolio level is lower due to the respective diversification effect of the different assets and factor strategies. This effect is much more pronounced in the 7orca FX Return than in the portfolio of traditional assets.
FX carry strategy
Utilise interest rate differences between currency areas (low-interest vs. high-interest currencies).
The carry trade is based on the empirical observation that uncovered interest rate parity often does not hold. This means that interest rate differences are not absorbed by corresponding exchange rate movements. The exchange rate can also tend in the opposite direction, which can result in systematic premia over and above the interest rate differential.
FX value strategy
Profit from the reversal of currencies to their long-term ‘fair value’.
The value approach, based on purchasing power parity, is based on the assumption that exchange rates will equalise the difference in price levels between countries in the long term. The 7orca FX Return invests specifically in currencies that are misvalued against the PPP-implied exchange rate. The value strategy thus benefits from a convergence to fair value.
FX momentum strategie
Utilisation of trend movements primarily in risk-off phases
The momentum strategy is based on the assumption that currencies that have produced a strong price movement in a certain direction in the past will continue this trend. It is based on findings from behavioural finance, according to which investors are influenced by emotions and thus tempted to overreact. The resulting trends can have a self-reinforcing effect and thus also cause longer-term price movements. The 7orca FX Return invests specifically in currencies with a high tendency to trend.
FX mean reversion strategy
Utilisation of the low fluctuation intensity of cyclical currencies in relation to each other
The mean reversion strategy is the logical counterpart to the momentum strategy. According to this strategy, certain exchange rates should revert to their historical mean. This phenomenon can often be observed in countries with close macroeconomic ties. The 7orca FX Return identifies these exchange rates and invests in those where there are significant deviations from the mean. If the exchange rates show a reversal to the anticipated mean value, the strategy benefits.
FX volatility carry strategy
Realisation of the volatility risk premium
The strategy is based on the empirical observation that implied volatility is on average higher than realised volatility. The 7orca FX Return offers other market participants the opportunity to hedge against extreme market movements and benefits from the provision of liquidity. As investors are prepared to pay a long-term premium for a convex payout profile, the volatility carry strategy benefits from the collection of this premium.
Bond floor
Selection of securities as an underlying investment
Criteria for the selection of securities
| Bond Floor 7orca FX Return | Details |
| Conservative, defensive | |
| Fixed income / money market | |
| Laddered structure across maturities | |
| Currency | EUR-denominated |
| Creditworthiness | Rating min. A+ |
| Term | Max. 3 years |
| Instruments | Government bonds Government-related issuers Sovereign and municipal bonds Covered bonds Money market instruments / funds |
| 7orca FX Return | Basic fund data |
| Fund manager | Maximilian Kühl Moritz Stephan |
| ISIN / WKN | DE000A3E1825 / A3E182 |
| Fund domicile and legal form | Germany, UCITS |
| Launch date | 25.03.2024 |
| Utilisation of income | Distributing |
| Capital management company | Universal-Investment-Gesellschaft mbH |
| Custodian | State Street Bank International GmbH |
| Management fee | 0,77% |
| Running costs p.a. (TER) | 0,93% |
| Cut off time | 02:00 pm |
| Performance-related fee | None |
| Minimum investment | None |
Disclaimer & legal notes
Legal notes
Past performance and simulations are not a reliable indicator of future performance. This cannot be predicted.
The indication of future performance is an estimate based on past performance and/or current market conditions and is not an exact predictor.
Unless otherwise stated, information on fund performance is based on the BVI method (gross valuation). The BVI calculates the performance of German investment funds based on management performance. BVI considers all costs incurred at the level of the investment fund. This is based on a single investment of a certain amount. The unit values of the investment fund at the beginning and end of the calculation period are compared, considering distributions including corporation tax credits. Individual tax factors are not considered. It is also assumed that distributions are reinvested at the redemption price during the calculation period.
Additional costs may also be incurred at investor level (front-end load, redemption fees, custody account costs). It should be noted that the performance of the investment fund calculated in this way does not usually correspond to the actual investment performance. However, this makes it possible to compare the management performance of different funds with similar investment profiles without distortions due to the fee structure.
Disclaimer
This document is a marketing communication relating to products and/or services of 7orca Asset Management AG and is for marketing and informational purposes only. This marketing communication is intended for professional clients only within the context of the German Securities Trading Act (WpHG) and is not suitable for retail investors. This communication was prepared with the greatest possible care based on the data available to us. The information is based on sources that we consider reliable, but for whose accuracy and completeness we cannot assume any guarantee. We expressly point out that this does not constitute an invitation to buy or sell fund units.
Investment decisions should only be made on the basis of the current sales documents (particularly Key Investor Information Document and prospectus and, if published, the most recent annual and semi-annual reports) of the funds advertised in this marketing communication, which also contain the only relevant terms and conditions of the contract or investment. The sales documents will be made available free of charge in German at the capital management company Universal-Investment-Gesellschaft mbH (Theodor Heuss-Allee 70, 60486 Frankfurt am Main), the custodian bank and the Asset Manager 7orca Asset Management AG (Am Sandtorkai 77, 20457 Hamburg). The sales documents are also available online at www.universal-investment.com.
The information provided does not imply a recommendation or advice. All statements reflect the current assessment and the opinions expressed in the document are subject to change without notice. Unless otherwise stated, information on fund performance is based on the BVI method.
Neither the asset management company nor its cooperation partners assume any kind of liability for the use of this document or its contents. A summary of your investor rights in German can be found on www.universal-investment.com/media/document/Anlegerrechte (sollte der Link nicht besser auf englische Dokumente füren?). In addition, we would like to point out that, in the case of funds for which it has made arrangements as a management company for the distribution of the fund units in EU Member States, Universal-Investment-Gesellschaft mbH may decide to dispose of them in accordance with Article 93a of Directive 2009/65/EC and Article 32a of Directive 2011/61/EU, in particular, by making a package offer to buy back or redeem all the corresponding shares held by investors in the Member State concerned.
This document was prepared by 7orca Asset Management AG, Hamburg.
Source and data, unless otherwise stated: 7orca Asset Management AG (17.03.2025)