Augustus Learns From Its Mistakes, And It Pays Off

Oct 29 2008 | 8:05am ET

It seems the second time is the charm for Augustus Asset Managers’ quantitative JB Currency Hedge Fund. The London firm, which manages about US$1 billion in hedge funds, launched the fund last July, just in time for it to be battered, along with other quant funds, by the summer’s market volatility.

If at first you don’t succeed…

The firm closed the fund, retooled its models, and relaunched it in March with US$12.8 million.

Augustus also manages a discretionary currency hedge fund by the same name. The US$61.2 million offering lost 0.99% in September due to its long Australian dollar positions and its exposure to Chile.

“Also, a particularly disappointing trade was our short in the Turkish lira,” said the firm. “Against such a global backdrop the Turkish lira would typically have been sold aggressively but the currency only weakened marginally. Though we still expect the lira to remain under pressure, recent price action would suggest that positioning is not overly stretched.”

Going forward, the firm said the economies of Europe, especially the U.K., look “increasingly fragile,” and that it continues to run a combination of long lower yielding currencies that perform during times of stress alongside currencies that it believes should do better once markets settle down.

It will also continue to look for opportunities to short the sterling and remain strictly opportunistic to emerging markets trades.

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