The document discusses a currency trading algorithm that is applied to 45 different currency pairs using the euro as the base currency. It explains that using a broader set of currencies provides more investment opportunities. The strategy aims to allocate funds to each currency pair based on its volatility, with less volatile currencies receiving higher allocations. Testing the algorithm on different currency sets and asset classes helps verify its robustness.

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A broader investment universe offers a wider opportunity set, so we apply our algorithm to 45 currency pairs,
namely USD, GBP, YEN, CHF, AUD, NZD, CAD, NOK, SEK and of course EUR, which is our base
currency.
The same strategy can use different base currencies, and the only differences will arise from better or worse
liquidity and higher or lower risk free rate. For example, should USD be the base currency we can expect better
returns.
Each pair has the same risk budget and its ‘‘weight’’ is, as the first step, an inverse function of its volatility.
Fx proprietary systematic approach
Investment Universe

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Fx proprietary systematic approach
We strongly believe systematic approaches applied to currency markets can still deliver interesting returns with
low correlations to equity and bond markets, and as such, constitute an important component within multi-asset
and multi-strategy absolute return portfolios.
Results
Data Source: Bloomberg; own elaboration

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Robustness check
To verify the robustness of our algorithm we can check its results by applying it to a different universe of
currencies...
Emerging currencies
Data Source: Bloomberg; own elaboration

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Robustness check
... or to a different asset class...
US sectors - market neutral
Data Source: Bloomberg; own elaboration

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Robustness check
... and to another
Commodity indexes
Data Source: Bloomberg; own elaboration