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Our medium-term, systematic strategy was first launched February 2007, but back tested to January 2003. This lower leveraged strategy targets modest returns, with low volatility.   Components Traded: Instruments Traded: Trading Strategy: Average Leverage: Investment Vehicles: Currency Majors Options, Spot FX and Overnights Systematic, Intra-Month 2 Times Managed Account only

Program Description

The program targets uncorrelated risk-adjusted returns - pure ALPHA, by trading the most liquid assets available to investors, the currency majors. The strategy behind the program is designed to create alpha in most market conditions by benefiting from medium-term volatility. We categorise the strategy as being intra-month, systematic. The program has a non-directional bias, utilizing options and currency forwards. Risk is tightly controlled via a pre-defined option strategy. Performance tends to be strong in all market conditions, with exception to narrow ranges.

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 option straddle bought at the beginning of the period. After the product has been protected by this systematic process, discretionary views are analysed on a technical basis. 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.