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Our short-term, discretionary strategy was first launched January 1999. This higher leveraged strategy targets strong returns, with modest volatility.   Components Traded: Instruments Traded: Trading Strategy: Average Leverage: Investment Vehicles: Currency Majors Spot FX and Overnights Discretionary, Intra-Day 3 Times Managed Account 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. The strategy is categorised as being intraday, discretionary, however the expertise and success behind the program is defined by the high degree of discipline within the methodology. This is best shown in the low number of trades executed. Technical analysis is the only input for position taking decisions, whereas other indicators may be used to reduce overall risk. Performance tends to be strong in all markets.

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. This routine is initiated by an analysis of the overnight movements of the major currency crosses, and updating the in-house “Information Model”. This model provides an indication of the strength behind the information generated from the technical data. Combined with information on significant levels and flows provided by brokers, the days trading bias is evaluated. Further technical analysis on price data of the currency majors and the USD Index, is studied to determine the support and resistance levels. Finally, announcements of fundamental events and statistical releases are evaluated for risk management purposes. Hereafter follows market monitoring and position taking.

 

Related Content

MANAGED ACCOUNT Our clients that choose to invest in our currency program via a managed account, seek an investment vehicle that offers full transparency and flexibility. Providing that the account holding bank or broker can establish a give-up agreement with our primebrokers UBS and Deutsche Bank, clients can decide where their managed account is held. An advantage with a managed account is that the client solely owns the account and this limits the capital risk of the investment. The client is also able to monitor all the trades executed and cancel trading agreements with immediate effect.