Northwest Global Levers Up Currency Strategy

Sep 26 2007 | 11:30am ET

Northwest Global Capital Management, a global macro, multi-strategy shop, is currently looking to take its 27-month old currency trading strategy to the next level. The firm is preparing to launch a 2x-3x levered-version of its strategy in a fund format and would like to partner up with a firm that can provide working and trading capital to its partners.

The new vehicle, the Currency Absolute Return Strategy, is based on quantitative models trading a portfolio of G10 currencies and 10 other emerging market currencies, according to a source close to the firm.

“It has a current track record of over two years with a Sharpe ratio of 1.64 and 81% positive months over that time period,” said the source. “During the volatile market periods in February and August, the models performed exceptionally well, and remained positive throughout.”

The strategy started trading in June 2005 and was up 6% last year and is up about 6% this year through August, according to the source. “It was up about 0.45% last month and that was a really good thing because I know a lot of firms had some issues.”

The source added that the product is easily marked to market on a daily basis and is non-correlated to most other strategies and asset classes.

Both partners of the firm, who are currently working for other hedge funds, anticipate launching the fund once a strategic partner is in place. They are also looking to launch additional strategies in the future “to complete a well-rounded global macro/multi-strategy investment management company.”

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