Currency Alpha Programmes


Extended Markets Asian Markets Global Emerging Markets
Performance Since Inception 61.91% 117.87% 94.73%
Performance 2014 -1.59% 1.34% 0.39%
Annualised Performance 4.97% 10.08% 11.54%
Annualised Monthly Volatility 7.10% 9.22% 9.7%
Sharpe Ratio 0.39 0.9 1.19
Current Month July 2014 1.88% 0.74% 0.38%


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: 38.77%
2005 Performance: +14.07%
2006 Performance: +5.85%
2007 Performance: +9.87%
2008 Performance: +4.95%
2009 Performance: -0.30%
2010 Performance: -9.35%
2011 Performance: +1.09%
2012 Performance: +0.56%
2013 Performance: -7.32%
2014 Performance: -1.59%


Information Performance Analysis
Fees (Management) 2% Last Month -0.85%
Fees (Performance) 20% Last Rolling 12 Months -5.43%
Fees Administration/Prime Brokerage 0% Year to Date -1.59%
Interest Libor-0.20% Monthly Win Rate 59%
Target Returns 15% Performance to Date 61.91%
Target Max Drawdown 5% Sharpe Ratio 0.39
Liquidity Monthly Standard Deviation 7.10%
Maximum Leverage 5:1 Sortino Ratio 0.55
CS Character --
CS Ratio --
Skewness 1.25
Kurtosis 3.23


Monthly Return


Chart.
Year YTD Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2004 38.77% 0.69% 4.30% 0.06% 1.39% 1.70% 7.66% 8.64% 7.85% 1.53%
2005 14.07% 1.14% 2.58% 0.90% 0.07% 2.28% 0.56% 2.58% 0.58% 1.10% 0.98% -0.00% 0.51%
2006 5.85% 0.54% 1.41% 0.50% 1.00% -0.54% 0.05% 0.72% -0.06% -0.01% 0.82% 0.26% 1.03%
2007 9.87% -0.11% -0.16% 0.64% 1.14% 0.16% 0.47% 0.27% 0.06% 6.06% -0.30% 1.65% -0.27%
2008 4.95% -0.31% -1.29% 0.52% 1.43% -0.47% -0.47% 1.26% 0.19% -0.52% 1.45% 2.59% 0.53%
2009 -0.30% 6.09% 0.74% -2.53% 0.50% 1.01% -1.55% 0.40% 1.29% -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 1.09% -2.32% 0.15% -0.33% 6.69% -2.98% -1.39% 1.75% -2.61% 3.78% -2.10% 0.22% 0.67%
2012 0.56% 1.07% 0.07% -2.19% -1.59% 5.17% 0.63% -1.11% -0.54% 1.44% -0.52% -1.44% -0.23%
2013 -7.32% -2.68% 0.16% 2.34% -0.98% 2.03% -4.35% -2.71% -1.72% -1.27% 0.19% -0.09% 1.74%
2014 -1.59% -0.77% -0.52% -0.99% 0.11% -0.43% -0.85% 1.88%
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: 11.75%
2007 Performance: +32.34%
2008 Performance: +9.20%
2009 Performance: +3.16%
2010 Performance: +7.73%
2011 Performance: +10.61%
2012 Performance: +3.11%
2013 Performance: +5.04%
2014 Performance: +1.34%


Information Performance Analysis
Fees (Management) 2% Last Month -1.43%
Fees (Performance) 20% Last Rolling 12 Months -3%
Target Returns 18% Year to Date 1.34%
Target Max Drawdown (annualised) 5% Monthly Win Rate 62%
Liquidity (with 7 days notice) Monthly Performance to Date 117.87%
Maximum Leverage (guide) 5:1 Sharpe Ratio 0.9
Maximum VaR (24 hours to 2 SD) 3% Standard Deviation 9.22%
Sortino Ratio 1.44
CS Character --
CS Ratio --
Skewness 1.68
Kurtosis 5.20


Monthly Return


Chart.
Year YTD Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2006 11.75% 1.23% 1.05% 3.16% -2.32% 0.46% 2.06% 0.40% -0.59% 2.51% 0.07% 3.28%
2007 32.34% 0.40% -0.52% 1.62% 3.01% 1.62% 1.54% 0.32% 4.49% 9.81% 3.65% 4.15% -1.28%
2008 9.20% 2.32% 0.44% -0.56% 0.90% -2.47% 1.08% 1.28% 0.30% 2.55% 2.44% 0.45% 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 10.61% -4.00% 0.15% -0.84% 10.05% -3.57% -0.58% 3.16% -3.58% 12.51% -1.63% -0.60% 0.49%
2012 3.11% 1.90% -0.92% -1.61% 0.41% 1.55% -2.72% -1.84% -0.23% 5.07% 0.86% -0.65% 1.48%
2013 5.04% -0.44% 0.87% -0.10% 2.73% 5.87% -0.48% -2.87% -2.05% -0.70% 3.06% -1.65% 1.01%
2014 1.34% 0.79% -1.62% 1.27% -1.42% 3.09% -1.43% 0.74%
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: +13.61%
2012 Performance: +11.65%
2013 Performance: +3.69%
2014 Performance: +0.39%


Information Performance Analysis
Fees (Management) 2% Last Month -2.79%
Fees (Performance) 20% Last Rolling 12 Months -1.17%
Target Returns 18% Year to Date 0.39%
Target Max Drawdown (annualised) 5% Monthly Win Rate 65%
Liquidity (with 7 days notice) Monthly Performance to Date 94.73%
Maximum Leverage (guide) 5:1 Sharpe Ratio 1.19
Maximum VaR (24 hours to 2 SD) 3% Standard Deviation 9.7%
Sortino Ratio 1.52
CS Character --
CS Ratio --
Skewness 0.53
Kurtosis 0.87


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 13.61% -0.89% 0.24% -0.79% 5.44% -4.01% 0.04% 4.29% -1.11% -1.19% 1.93% 1.96% 7.49%
2012 11.65% 2.05% 0.47% -1.41% 0.96% 8.29% -4.93% -0.65% 1.25% 3.62% -0.10% -0.20% 2.26%
2013 3.69% 0.77% 0.21% 3.02% -1.81% 3.17% -3.63% -1.48% -2.45% -3.59% 2.41% 4.86% 2.61%
2014 0.39% -0.61% -0.93% 1.03% 0.53% 2.87% -2.79% 0.38%

Awards

Winner: 2013 Best Sub $100m Hedge Fund, Hedge Funds Review’s European Single Manager Awards
The Cambridge Strategy Apollo Emerging Macro Programme
Winner: 2013 Best Global Macro Fund Manager, Hedgeweek Global Awards
The Cambridge Strategy Apollo Emerging Macro Programme
Winner: 2012 Best F/X Hedge Fund, Hedge Fund Review
The Cambridge Strategy Asian Markets Alpha Programme
> Winner: 2010 Best F/X Hedge Fund, Hedge Fund Review
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
> Nominated: 2007 Currency Manager of the Year, Professional Pensions.
> Nominated: 2007 Currency Manager of the Year, Specialist & Alternative Investment Manager Awards.
The Cambridge Strategy