Quiver Quantitative - AlphaSimplex Group, a quant fund, is maintaining its position against the yen, despite recent fluctuations suggesting potential interventions by Japanese officials. The yen, after weakening past the pivotal 150-to-the-US-dollar mark, experienced a sudden surge, reigniting speculations of an official step-in. However, alternative theories propose that other factors, such as standing orders that triggered upon crossing a certain threshold, could be responsible for this movement.
Kathryn Kaminski, Chief Research Strategist and Portfolio Manager at AlphaSimplex, remains unfazed. Reflecting on the fund's performance, she indicated that their short-yen trade might continue longer than most anticipate. Kaminski referenced a similar pattern from the previous year, where after a brief yen strength attributed to minor official support, the currency declined again, leading to a profitable short yen trade for AlphaSimplex.
Japan's intervention in the foreign exchange market last year was designed to bolster the yen. However, with the allure of high US interest rates persistently attracting capital, the dollar has experienced a boost. This phenomenon suggests that speculators might be encouraged to predict further yen weakening, as highlighted by Brown Brothers Harriman strategist Win Thin, who described the yen's recent rebound as "a gift to dollar bulls."
The Virtus AlphaSimplex Managed Futures Strategy Fund, worth $2.7 billion, has faced a decline of about 2.9% this year. Yet, Kaminski is optimistic, foreseeing their bets against both the yen and US Treasuries to bear fruit. She pointed to the continuing rise of US yields, stimulated by an unexpected increase in job openings and the anticipated sustained high rates from the Federal Reserve.
This article was originally published on Quiver Quantitative