New York-based currency manager FX Concepts is launching a new fund based on its FX Volatility Program.
The Volatility Program is an outgrowth of two specific non-directional strategies that FX Concepts has been operating since March 2002. The first is the options component of the Developed Market Currency (DMC) program (USD 900 million aum) and the second is a stand-alone options program (USD 250 million aum) that was developed for an institutional client a year later based on the experience of the DMC options program.
"Since these programs have provided a negatively or uncorrelated alpha compared to most other currency managers, we saw an opportunity in the market for a standalone options program", said Philip Simotas, head of investment management at FX Concepts."
The Volatility Program will be composed of sub-modules and is currently made up of three distinct non-directional strategies. FX Concepts will retain the right to add new sub-modules and also to dynamically weight these modules based on the goal of maximizing return per unit of risk. The Volatility Program will target an annualized return of around 15 per cent.
John Taylor, Chairman of FX Concepts, said: "2004 was a challenging year for most currency managers given the lack of direction through the end of the 3rd quarter. Our options strategies turned in a strong performance, however. The success of non-directional strategies last year has put them increasingly on the map for investors and this should be a good opportunity for those looking to allocate to the FX space without the typical long-volatility return profile of most currency managers and CTAs".
The Volatility Fund, available in both offshore and onshore versions, offers monthly liquidity and a minimum investment of USD 250,000. Fees are 1.5 per cent and 20 per cent. In addition to the funds, the Volatility Program will also be offered through a total return swap where clients receive/pay the returns of the program on a monthly basis based on their share of the swap.
Background notes: FX Concepts is a New York-based currency manager with over USD 12 billion in multiple absolute return and currency overlay strategies.