Emerging Markets Currency Alpha

Background & Investment Approach:
The Emerging Markets Alpha Programme commenced trading in February 2008 to provide a blended exposure to the non G-10 strategies offered by The Cambridge Strategy. It aims to profit from short and medium term moves in the developing markets‟ currency pairs. To achieve this, the firm employs a largely systematic approach, designed to perform across diverse market environments. The process combines three decision making tools: a Systematic Technical Strategy, a Systematic Fundamental Strategy and a Market Information Strategy.

During periods of higher volatility, the Systematic Technical Strategy uses a series of proprietary trading algorithms operating over multiple timeframes. The algorithms combine trend continuation and trend reversal signals. During periods of lower volatility, the Systematic Fundamental Strategy reflects a predetermined set of positions designed to reflect market views on the relative attractiveness of currencies versus the US dollar thereby realising the inherent benefits of the carry trade. The Market Information Strategy leverages the experience and global network of our portfolio managers to understand and exploit the behaviour of other market participants and to participate in hedging and investment flows.

The Cambridge Strategy believes that long run success is achieved through successful mitigation of downside returns (with risk controlled at the portfolio, strategy and individual trade levels). While a daily VAR limit is enforced at both the aggregate portfolio and sub-strategy level, a further layer of risk mitigation is incorporated within each strategy. For the Systematic Technical and Market Information Strategies “left side” tail risk is monitored at the trade and portfolio level using a proprietary methodology grounded in Extreme Value Theory. Within the Systematic Fundamental Strategy, the aggregate net US dollar exposure is maintained at zero.



Programme Description:
Description: Absolute Return – Currency – Emerging Markets
Target Returns: 18% per annum
Target Daily Volatility: 14% per annum (based on daily observations)
Investment Style: Active Currency Management – Systematic (Technical and Fundamental)

 
 
Structural Details:  
Vehicle: Managed Account
Liquidity: Client Specified
Minimum Investment: US$ 10,000,000 (or equivalent)
Investment Manager: The Cambridge Strategy (Asset Management) Limited
Management Fees: 2.0% per annum
Performance Fees: 20% performance fee with high-water mark

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