Swiss-based currency specialist Capricorn Asset Management this month launched the Capricorn fxMT (Growth) program, an intra-month, systematic currency strategy with US$5 million in equity.
Lars Buhl, Capricorn’s chief investment officer, developed the program during the first quarter of 2006 and said he wanted to have a different approach from other trend followers. “The program is designed using a buy-option strategy for risk purposes so the risks and all exposures traded within the program are protected by these options,” he said.
“It’s more likely to capture the volatility within the market so when we reach a certain point, we close one weight of the option always with a profit and thereby create full flexibility within the model.”
During the research process, Buhl said he found that the two currency pairs fitting best into the program are the U.S. dollar/yen and Australian dollar/U.S. dollar, which are the backbone of the program.
The new program charges a 1% management fee and 25% performance fee, with a US$1 million minimum investment requirement.
In other news, the firm has renamed its Capricorn FX3x and FX7x discretionary programs have been renamed fxST (Growth) and fxST (Aggressive), respectively. “People were very confused with the 3x and the 7x programs because the leverage used were different than the names indicated,” said Buhl. “For example, in the 7x program we only use leverage between two to four times.” The programs share a combined AUM of $45 million. The firm manages some $50 million in total assets.