Capturing Alpha by Identifying FX Market Extremes
Amid the recent frustration of alpha extraction in EMFX, we outline how our latest model identifies trend reversals in the FX market and enhances our ability to capture currency management alpha.
Prudential Tower
655 Broad Street
Newark, NJ, United States
Prudential Tower
655 Broad Street
Newark, NJ, United States
Mariusz Banasiak, CFA, is a Managing Director and Head of Local Currency Rates and FX for PGIM Fixed Income's Emerging Markets Debt Team. Mr. Banasiak is also a senior portfolio manager for the Emerging Markets hedge fund product as well as being responsible for developing currency strategy for Global and Core plus mandates. Prior to assuming this position in the Emerging Markets Debt Team, he was responsible for developing portfolio strategies on USD sovereign and local emerging market yield curves and currencies in the Europe, Middle East, and Africa (EMEA) region. Previously, Mr. Banasiak was an Analyst for emerging market debt portfolios in the Portfolio Analyst Group. Earlier, he was responsible for risk analysis and performance attribution for the Firm’s proprietary portfolios. Mr. Banasiak joined the Firm in 2004. He received a BS with Honors in Finance from Rutgers University and holds the Chartered Financial Analyst (CFA) designation.
Amid the recent frustration of alpha extraction in EMFX, we outline how our latest model identifies trend reversals in the FX market and enhances our ability to capture currency management alpha.
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All information as of May 2023. For purposes of the biographies, the “Firm” is defined as Prudential Financial, Inc. ("PFI"). All PGIM and Prudential named entities are subsidiaries or affiliates of PFI. PFI of the United States is not affiliated in any manner with Prudential plc, incorporated in the United Kingdom or with Prudential Assurance Company, a subsidiary of M&G plc, incorporated in the United Kingdom.