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Home > Funds > Merk Absolute Return Currency Fund > Strategy

Merk Absolute Return Currency Fund ® (MABFX)
Merk Absolute Return Currency Fund

INVESTMENT PROCESS

In seeking to achieve positive absolute returns, The Portfolio Management Team makes strategic and tactical currency exposure allocations based on quantitative and qualitative analyses. Systematic trading signals are derived from these analyses and may be aggregated using market regime analysis.

Strategic versus Tactical. The Adviser considers factors that lead to gradual allocation changes over months as “strategic.”In contrast, the Adviser considers factors that lead to allocation changes over shorter periods as “tactical.” The Fund’s enhanced tactical strategies include, among others, risk sentiment analysis, technical analysis, an integration of quantitative and qualitative analyses seeking to project the Adviser’s macro-economic views to currency allocation, and more integrated and active risk management techniques.

Quantitative Analysis. The Adviser may consider quantitative factors to determine portfolio allocations. Quantitative factors that the Adviser may consider include fundamental and statistical technical analysis of currency, financial markets and economic data. Fundamental considerations may include a country’s gross domestic product or the central bank’s benchmark interest rate. Technical considerations may include the relative performance of currencies over time. Statistical analysis may include the use of probability theory and mathematical optimizations. Additionally, the Adviser may utilize statistical methods to manage overall portfolio risk.

Qualitative Analysis. Qualitative factors that the Adviser may consider include an analysis of monetary policies pursued by central banks and economic environments; a country’s perceived political stability; the risk of government intervention in its financial markets; and proprietary analysis on the outlook of a country’s currency. Additionally, the Adviser may utilize qualitative and quantitative analysis to manage overall portfolio risk.

Market Regime Analysis. The Adviser uses a proprietary statistical framework to identity dynamics in market regimes that are defined by risk characteristics. Market Regime analysis and statistical analysis are utilized to provide a probabilistic-based system for aggregating trading signals received from quantitative and qualitative analyses.

Strategy Enhancements. Effective June 30, 2012, the Fund’s principal investment strategies were enhanced in an effort to achieve a more tactical focus. Such strategy enhancements included, among others, risk sentiment analysis, technical analysis, an integration of quantitative and qualitative analyses seeking to project the Adviser’s macro-economic views to currency allocation, and more integrated and active risk management techniques.

 

Fund Documents

pdf Fact Sheet, Attribution

pdf Prospectus / SAI

pdf Semi/Annual Reports