Capricorn FX Medium Term SPC Fund
Our medium-term, systematic strategy was first launched February 2007, but back tested to January 2003. This higher leveraged strategy targets strong returns, with modest volatility.
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
| Components Traded: | Currency Majors |
| Instruments Traded: | Options, Spot FX and Overnights |
| Trading Strategy: | Systematic, Intra-Month |
| Average Leverage: | 4.0 Times |
| Investment Vehicles: | SPC Fund only |
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