Tuesday, 30 August 2016
Last updated 3 hours ago
Jan 24 2007 | 12:49pm ET
New York-based FX Concepts, a CTA specializing in the currencies, had a mixed year last year. The firm’s Global Currency program finished December up 3.28% and 18.63% year-to-date. However, its Developed Markets Currency program ended the month up 4.3%, bringing its year-to-date returns to -0.59%.
The Global Currency program combines both momentum and value based trading styles in a systematic approach and is capable of holding positions in up to 24 different developed and top tier emerging currencies in a risk diversified portfolio.
“Virtually all aspects of the GCP portfolio were working in December, as four of the five regions showed positive performance,” according to the firm. “Among the top performers were the commodity currency strategies (+1.9%), which were essentially long New Zealand dollars and short Canadian dollars. New Zealand dollars thrived, as December was a relatively benign period for carry currencies. Canadian dollars have been in a funk for several weeks now with energy (natural gas) prices lower and expected to stay relatively soft for the time being.”
The program, which currently manages some $2.95 billion in assets, charges a 1% management fee and 20% performance fee with a $1 million minimum investment requirement.
The firm’s Developed Markets Currency program “finished with a strong fourth quarter performance in an otherwise miserable year,” according to the firm. “December’s performance was powered by a relatively benign backdrop for carry trades in the second half of the month with most market participants’ measures of risk appetite–including our own–moving aggressively toward risk-seeking settings as the month wore on. As a result, most of the popular carry trades gained significantly. At the top of the list was the New Zealand dollar and Japanese yen, where the spot rate rallied close to 6% in addition to the nearly 7% annualized return that the interest rate differential generated.”
The Developed Markets Currency program trades a diversified portfolio of developed market currencies in the interbank foreign exchange market. It charges the same fees and minimum investment requirement as the Global Currency program and currently manages some $5.3 billion in assets.
John Taylor, a former vice president at Citibank where he headed the bank's marketing and advisory services in foreign exchange, founded FX Concepts nearly 25 years ago. The firm currently manages some $12.3 billion in total assets.