Currency Alpha Programmes
| Extended Markets | Asian Markets | Global Emerging Markets | |
| Performance Since Inception | 77.85% | 97.69% | 71.44% |
| Performance 2012 | 1.27% | -0.01% | 2.35% |
| Annualised Performance | 7.99% | 11.24% | 13.7% |
| Annualised Monthly Volatility | 7.51% | 7.21% | 7.45% |
| Sharpe Ratio | 0.71 | 1.19 | 1.64 |
| Current Month February 2012 | 0.20% | -1.87% | 0.29% |
Returns are GROSS of all fees & exclude interest income.
Daily results are calculated using the equal weighted average of managed accounts.
Historical Performance
The Extended Markets Alpha Strategy
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| Performance Since Inception | |
| April 2004: | 38.99% |
| 2005 Performance: | +14.11% |
| 2006 Performance: | +5.83% |
| 2007 Performance: | +9.88% |
| 2008 Performance: | +4.85% |
| 2009 Performance: | -0.88% |
| 2010 Performance: | -9.35% |
| 2011 Performance: | +1.07% |
| 2012 Performance: | +1.27% |
| Information | Performance Analysis | ||
| Fees (Management) | 2% | Last Month | 1.07% |
| Fees (Performance) | 20% | Last Rolling 12 Months | 2.58% |
| Fees Administration/Prime Brokerage | 0% | Year to Date | 1.27% |
| Interest | Libor-0.20% | Monthly Win Rate | 66% |
| Target Returns | 15% | Performance to Date | 77.85% |
| Target Max Drawdown | 5% | Sharpe Ratio | 0.71 |
| Liquidity | Monthly | Standard Deviation | 7.51% |
| Maximum Leverage | 5:1 | Sortino Ratio | 1.10 |
| CS Character | 3.24 | ||
| CS Ratio | 2.30 | ||
| Skewness | 1.49 | ||
| Kurtosis | 4.44 |
Monthly Return
Chart.
| Year | YTD | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2004 | 38.99% | 0.69% | 4.37% | 0.06% | 1.39% | 1.76% | 7.64% | 8.64% | 7.85% | 1.58% | |||
| 2005 | 14.11% | 1.14% | 2.58% | 0.90% | 0.07% | 2.30% | 0.58% | 2.58% | 0.58% | 1.10% | 0.98% | -0.00% | 0.51% |
| 2006 | 5.83% | 0.56% | 1.41% | 0.50% | 1.00% | -0.54% | 0.01% | 0.72% | -0.06% | -0.01% | 0.82% | 0.26% | 1.03% |
| 2007 | 9.88% | -0.11% | -0.16% | 0.64% | 1.14% | 0.17% | 0.49% | 0.27% | 0.04% | 6.06% | -0.30% | 1.65% | -0.27% |
| 2008 | 4.85% | -0.31% | -1.29% | 0.52% | 1.43% | -0.47% | -0.47% | 1.26% | 0.19% | -0.52% | 1.45% | 2.49% | 0.53% |
| 2009 | -0.88% | 6.09% | 0.74% | -2.53% | 0.50% | 1.01% | -1.55% | 0.40% | 0.70% | -0.67% | -3.66% | -1.70% | 0.11% |
| 2010 | -9.35% | -0.97% | 1.74% | -0.14% | -0.28% | 0.63% | -3.55% | -1.04% | -1.49% | -0.01% | -4.25% | -1.44% | 1.20% |
| 2011 | 1.07% | -2.33% | 0.15% | -0.33% | 6.70% | -2.98% | -1.39% | 1.75% | -2.61% | 3.77% | -2.11% | 0.22% | 0.67% |
| 2012 | 1.27% | 1.07% | 0.20% |
The Asian Markets Alpha Strategy
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All performance shown is for the equal weighted average of the Managed Accounts.
| Performance Since Inception | |
| February 2006: | 11.62% |
| 2007 Performance: | +33.58% |
| 2008 Performance: | +7.91% |
| 2009 Performance: | +3.16% |
| 2010 Performance: | +7.73% |
| 2011 Performance: | +10.56% |
| 2012 Performance: | -0.01% |
| Information | Performance Analysis | ||
| Fees (Management) | 2% | Last Month | 1.90% |
| Fees (Performance) | 20% | Last Rolling 12 Months | 13.42% |
| Target Returns | 18% | Year to Date | -0.01% |
| Target Max Drawdown (annualised) | 5% | Monthly Win Rate | 73% |
| Liquidity (with 7 days notice) | Monthly | Performance to Date | 97.69% |
| Maximum Leverage (guide) | 5:1 | Sharpe Ratio | 1.19 |
| Maximum VaR (24 hours to 2 SD) | 3% | Standard Deviation | 7.21% |
| Sortino Ratio | 1.71 | ||
| CS Character | 2.83 | ||
| CS Ratio | 3.37 | ||
| Skewness | 1.16 | ||
| Kurtosis | 4.67 |
Monthly Return
Chart.
| Year | YTD | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2006 | 11.62% | 1.23% | 1.00% | 3.13% | -2.32% | 0.42% | 2.06% | 0.40% | -0.59% | 2.51% | 0.07% | 3.28% | |
| 2007 | 33.58% | 0.40% | -0.52% | 1.62% | 3.01% | 1.62% | 1.54% | 0.32% | 4.49% | 9.81% | 3.65% | 4.14% | -0.34% |
| 2008 | 7.91% | 1.58% | -1.18% | 0.82% | 0.83% | -2.57% | 1.08% | 1.28% | 0.30% | 2.55% | 2.44% | 0.41% | 0.21% |
| 2009 | 3.16% | 2.02% | 0.94% | -1.29% | 0.25% | -1.47% | 0.33% | 0.33% | -0.44% | 1.18% | 0.68% | 1.91% | -1.25% |
| 2010 | 7.73% | 0.98% | 0.30% | 2.73% | 0.02% | 0.93% | -1.81% | -0.20% | -0.09% | 3.76% | -0.77% | -2.05% | 3.88% |
| 2011 | 10.56% | -4.00% | 0.15% | -0.84% | 10.06% | -3.57% | -0.58% | 3.16% | -3.64% | 12.51% | -1.61% | -0.61% | 0.49% |
| 2012 | -0.01% | 1.90% | -1.87% |
The Global Emerging Markets Alpha Programme
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All performance shown is for the equal weighted average of the Managed Accounts.
| Performance Since Inception | |
| February 2008: | 6.75% |
| 2009 Performance: | +28.25% |
| 2010 Performance: | +7.74% |
| 2011 Performance: | +13.57% |
| 2012 Performance: | +2.35% |
| Information | Performance Analysis | ||
| Fees (Management) | 2% | Last Month | 2.05% |
| Fees (Performance) | 20% | Last Rolling 12 Months | 15.42% |
| Target Returns | 18% | Year to Date | 2.35% |
| Target Max Drawdown (annualised) | 5% | Monthly Win Rate | 72% |
| Liquidity (with 7 days notice) | Monthly | Performance to Date | 71.44% |
| Maximum Leverage (guide) | 5:1 | Sharpe Ratio | 1.64 |
| Maximum VaR (24 hours to 2 SD) | 3% | Standard Deviation | 7.45% |
| Sortino Ratio | 2.29 | ||
| CS Character | 2.78 | ||
| CS Ratio | 4.56 | ||
| Skewness | 0.96 | ||
| Kurtosis | 2.39 |
Monthly Return
Chart.
| Year | YTD | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
| 2008 | 6.75% | 1.18% | 0.52% | 0.89% | -1.12% | 0.32% | 1.65% | -0.28% | 0.26% | 2.11% | 0.89% | 0.17% | |
| 2009 | 28.25% | 4.22% | 1.44% | 4.05% | 3.82% | 1.54% | 1.46% | 1.11% | -0.11% | -0.05% | 2.74% | 4.91% | 0.18% |
| 2010 | 7.74% | 2.27% | 2.34% | 8.20% | 0.79% | -1.44% | -2.37% | 0.20% | -0.51% | 1.27% | -2.02% | -3.07% | 2.31% |
| 2011 | 13.57% | -0.89% | 0.24% | -0.79% | 5.43% | -4.01% | 0.04% | 4.29% | -1.11% | -1.19% | 1.91% | 1.96% | 7.49% |
| 2012 | 2.35% | 2.05% | 0.29% |
Awards
> Winner: 2010 Best F/X Hedge Fund, Hedge Fund Review
The Cambridge Strategy Emerging Markets Alpha Programme
The Cambridge Strategy Emerging Markets Alpha Programme
> Nominated: 2010 Currency Manager of the Year, European Pension Magazine Awards
> Nominated: 2010 Currency Manager of the Year, Global Pensions Awards
> Winner: 2009 Best F/X Hedge Fund, Hedge Fund Review
The Cambridge Strategy Asian Markets Alpha Programme
The Cambridge Strategy Asian Markets Alpha Programme
> Nominated: 2007 Currency Manager of the Year, Professional Pensions.
> Nominated: 2007 Currency Manager of the Year, Specialist & Alternative Investment Manager Awards.
