The JB Currency Hedge Fund – Quantitative Segregated Portfolio, the latest hedge fund from Augustus Asset Managers, produced a return of 12.68 per cent in its first year to 28 February
The JB Currency Hedge Fund – Quantitative Segregated Portfolio, the latest hedge fund from Augustus Asset Managers, produced a return of 12.68 per cent in its first year to 28 February 2008.
The fund uses quantitative strategies to target diversified, uncorrelated returns in the foreign exchange markets.
Currently Augustus manages USD100m of capital in the strategy, including the currency overlay on the Julius Baer Absolute Return Bond Fund and USD11.7m in the JB Currency Hedge Fund.
The fund is managed by Mark Dragten and Tom O’Shea.
Its models employ a consistent investment process, are highly liquid, and each invests in the 45 currency pairs that make up the G10. The models used by the fund were incubated over a period of three years before they were rolled out in March 2008.
‘The philosophy behind the fund is that currency markets are largely driven by fundamental, quantifiable factors,’ says Dragten. ‘Our approach is to systematically employ these factors using uncorrelated models – each with an attractive risk/reward profile.’
Tim Haywood, chief executive officer of Augustus, says: ‘After 12 months, during some of the stormiest financial times in recent memory, the fund has lived up to its promise, returning over 12 per cent. It’s been tested in a volatile environment and it has consistently performed. We now look to grow the fund further, based on that past performance.’
