Our long-term, systematic strategy was first launched March 2008, but back tested to January 2007.  This higher leveraged strategy targets strong returns, with modest volatility.

 CAPRICORN FXG10                                                     

Components Traded:	Currency Majors
Instruments Traded:	Spot FX and Overnights
Trading Strategy:	Systematic, Long-Term
Average Leverage:	6.0 Times
Investment Vehicles:	SPC Fund only
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 behind the program is designed to create alpha in most market conditions by benefiting from currency arbitrage. We categorise the strategy as being long term, systematic. The program has a non-directional bias that utilises currency forwards. Risk is tightly controlled via a dynamic hedging 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 an analysis of the currency pairs yielding premium interest rate differentials. A systematic hedging strategy is initiated to protect the strategy within the pre-determined limits of the model. Hereafter follows market monitoring and position taking.
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