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| Capricorn FXG10 Fund | » Back | | | | Our long-term, technical strategy was first launched April 2008 denominated in Swiss Francs. In 2009 EUR and USD denominated funds were launched, as well as an institutional share class for all products. 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
2.0 Times
US Onshore Feeder and Offshore SPC Fund |
| | | Program Description | |
Capricorn FXG10 aims to profit from the interest rate differentials in the currency markets. To achieve this, the firm employs a technical and discretion trading approach to currency investment management; an approach that seeks long term intra-month investment opportunities.
In order to achieve the strategy return goals, the investment team utilizes the trading approach to seek opportunities by pair trading the higher yielding G-10 currencies against either the Dollar or Yen. This involves borrowing funds from a low yielding currency to purchase a currency yielding a higher interest rate, to take advantage of the interest rate differential between the two. The instruments traded include spot FX, forwards, and options, with trading possibilities in both the OTC and Futures marketplace. Technical analysis is applied to provide an impression of the market opportunities and potential investment cases. The timing element of the strategy is determined by market factors relating to risk appetite and volatility, however trade implementation is executed on a discretionary basis. This analysis includes interpreting technical signals, and understanding the market psychology and behavior, to control trade and investment risk.
| | | Investment Process | |
Applying a 5 stage process to search for pure alpha opportunities in the G-10 currency markets, the team utilises technical analysis combined with discretionary judgement. The investment process is designed to channel the best trading opportunities in the model portfolio.
The procedure is initiated by interpreting implied volatility levels to develop a view on market risk appetite, and assessing macro-economic or political events on the interest rate market. An analysis is then made on the overnight movements of the G-10 currencies, to develop a technical picture of the probability for a trending environment favoured by carry trade strategies. Our discretionary views are then used in the second stage of the process to analyse the market pattern, and develop an effective risk hedging technique to protect against adverse market conditions. The third stage of the process is to construct a portfolio that capitalises on carry trades with a view risk reversal directional trading ideas. Before being implemented into the model portfolio, controls determine if the trades are within the risk parameters defined by the strategy. Finally, the position is monitored and re-evaluated should the market conditions change before being closed. |
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