Key Takeaways
- • EMCORE Asset Management's COP UCITS won The Hedge Fund Journal's 2026 UCITS Hedge award for best risk-adjusted performance over 2, 3, 5 and 7 years ending December 2025, in the Currency Trader category.
- • EMCORE tactically trades G10 currency volatility risk premia itself, rather than using the FX variance risk premium as a signal to predict exchange rates as much academic and central bank research does.
- • COP targets a Sharpe ratio of around 0.5 over a full multi-year cycle, with observed multi-year Sharpe ratios ranging from about 0.3 to 1.2, and a multi-year average volatility target of 7% (14% for the offensive COPO variant).
- • The fund does not follow a constant volatility or exposure target; it sells options when implied volatility is in its upper quantiles and allocates no risk when implied volatility is in its lowest quantiles.
- • EMCORE does not delta hedge, arguing that hedging costs erode returns, and instead manages delta through offsetting option positions across currencies.
Summary
EMCORE Asset Management's COP UCITS has won The Hedge Fund Journal's 2026 UCITS Hedge award for best risk-adjusted performance over 2, 3, 5 and 7 years ending December 2025, in the Currency Trader strategy category. The strategy was developed by EMCORE founder Stephan Knuser together with Thomas Keller, CEO and Head of Portfolio Management, who joined the firm in 2014. EMCORE, founded in 1998 as a convertible bonds house, now operates through entities in Switzerland, Liechtenstein and Finland, and most of its assets under management are in customised cross-asset options strategies, typically structured as capital-efficient overlays for institutional investors.
According to the article, COP tactically trades currency volatility risk premia rather than using the FX variance risk premium as a predictive signal. The strategy was conceived as a bond substitute during the zero and negative rate environment, and EMCORE tested it with proprietary capital before offering it to external investors in 2016. Partner and Head of Research Dr Silvia Stanescu argues that the overlay aims for an uncorrelated and stable return stream. The article states that EMCORE explored selling covered options against bonds but found the risk premia too low and the drawdowns too correlated. Per the article, the risk-adjusted performance target is a Sharpe ratio of around 0.5 over a full cycle; the base case translates to cash plus 3% for COP's multi-year average 7% volatility target, or cash plus 6% for COPO's 14% target. The article describes these volatility targets as broad guidelines, as the strategy is opportunistic in timing.
The firm's approach departs from mechanical systematic risk premia strategies. Keller says EMCORE sets implied volatility thresholds, stating the firm would not sell equity volatility with a VIX below 16 or sell FX implied volatility below 6 in most currencies, and that COP may have no exposure when thresholds are not met. The article reports that exposure in April 2025 was seven times larger than in December 2025, and was increased again in March 2026 to about three times the year-end trough. Keller identifies mean reversion of volatility, rather than the implied-realized gap alone, as the main return driver, and says positions are often closed before maturity.
On implementation, EMCORE uses more than 10 ISDA counterparties for FX options and allocates across G10 currencies and their crosses, including triangular combinations. Net option premiums are converted into the fund's reference currency, but overall currency exposure is not neutralised. Keller states that delta is partly offset across option positions and actively managed within a rules-based framework, and that delta hedging is not pursued because its costs erode returns. COP typically rolls options 12 times a year, though it can be opportunistic about instruments and maturities.
According to the article, COP tactically trades currency volatility risk premia rather than using the FX variance risk premium as a predictive signal. The strategy was conceived as a bond substitute during the zero and negative rate environment, and EMCORE tested it with proprietary capital before offering it to external investors in 2016. Partner and Head of Research Dr Silvia Stanescu argues that the overlay aims for an uncorrelated and stable return stream. The article states that EMCORE explored selling covered options against bonds but found the risk premia too low and the drawdowns too correlated. Per the article, the risk-adjusted performance target is a Sharpe ratio of around 0.5 over a full cycle; the base case translates to cash plus 3% for COP's multi-year average 7% volatility target, or cash plus 6% for COPO's 14% target. The article describes these volatility targets as broad guidelines, as the strategy is opportunistic in timing.
The firm's approach departs from mechanical systematic risk premia strategies. Keller says EMCORE sets implied volatility thresholds, stating the firm would not sell equity volatility with a VIX below 16 or sell FX implied volatility below 6 in most currencies, and that COP may have no exposure when thresholds are not met. The article reports that exposure in April 2025 was seven times larger than in December 2025, and was increased again in March 2026 to about three times the year-end trough. Keller identifies mean reversion of volatility, rather than the implied-realized gap alone, as the main return driver, and says positions are often closed before maturity.
On implementation, EMCORE uses more than 10 ISDA counterparties for FX options and allocates across G10 currencies and their crosses, including triangular combinations. Net option premiums are converted into the fund's reference currency, but overall currency exposure is not neutralised. Keller states that delta is partly offset across option positions and actively managed within a rules-based framework, and that delta hedging is not pursued because its costs erode returns. COP typically rolls options 12 times a year, though it can be opportunistic about instruments and maturities.
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