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| Capricorn FX Investments | » 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, Spot FX and Overnights
Fundamental, Long Term
4 Times
Offshore 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 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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| Related Content | |
OFFSHORE SPC FUND
Our clients that choose to invest in our currency program via an SPC Fund, seek an investment vehicle with the security of having external controls in place. Providing the client is a non-US citizen or Institution (unless tax exempted), they are able to participate in the strategy with lower minimum investments.
An advantage with the SPC Fund is that the client can have their investment professionally administered by CIBC Bank and Trust Company (Cayman) Limited, and auditored by BDO Tortuga, Cayman Islands.
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