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Capricorn FXG10 Fund » Back

Our long-term, fundamental strategy was first launched April 2008, but back tested to January 2007. This higher leveraged strategy targets strong returns, with modest volatility.   Components Traded: Instruments Traded: Trading Strategy: Average Leverage: Investment Vehicles: Currency Majors Options and FX Forwards Fundamental, Long Term 1.5 Times US Onshore Feeder and Offshore SPC Fund

Program Description

The program seeks risk-adjusted returns (pure ALPHA), that is uncorrelated to other investment strategies by trading the most liquid assets available to investors, the currency majors (G10). The strategy is categorised as being long term, fundamental that seeks alpha opportunities in most market conditions by benefiting from currency arbitrage and exchange rate differentials. The program utilises currency forwards and has a directional bias in the “carry” component of the strategy. Risk is tightly controlled via a dynamic hedging strategy aimed at reducing the exchange rate risk element of the strategy. Performance tends to be strong in all market conditions, providing ample liquidity is available.

Investment Process

In order to provide a source of uncorrelated alpha to professional investors, Capricorn’s niche as a currency manager is the discipline inherent within our trading methodology. The routine for this strategy is initiated with the analysis of interest rate differentials, as well as the global macro fundamentals of the currency majors. After the fundamental view is determined on the G10 crosses, leverage is re-balanced on a portfolio level depending upon the monthly cash adjustments within the fund. The individual currency crosses are then entered into the in-house “Carry” model, used to optimize the allocations of the components within the portfolio. This optimization seeks to build a portfolio that is balanced in currency weighting, in order to reduce the exchange rate risk of the components and to isolate the “carry” benefits of the strategy. Execution is automated across multiple liquidity providers to access the arbitrage opportunities created by the risk control measures.

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Industry Recognition

Hedge Fund Nominations and Awards

2009 Best Currency Hedge Fund 2008 Best Newcomer Hedge Fund 2008 Best Operator Single Manager 2007 Best Operator Single Manager

Top Currency Manager Rankings

FEB 2010 - BarclayHedge JAN 2010 - Stark & Company OCT 2009 - Stark & Company SEP 2009 - MA-Research MAR 2009 - BarclayHedge

Constituent of Indexes

MAR 2010 - HFRI Global Macro Index NOV 2006 - Parker Discretionary FX