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Alternative Market Briefing

Foreign exchange markets gaining popularity as an uncorrelated investment
Tuesday, April 03, 2012

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Philippe Bonnefoy Bailey McCann, Opalesque New York:

Philippe Bonnefoy is a foreign exchange trading expert. He is the founder of Switzerland-based, Eleuthera Capital a foreign exchange trading fund. Eleuthera leverages mean reversion and directional strategies to drive returns in the forex markets. Bonnefoy was recently interviewed by Matthias Knab for Opalesque TV.

"We only trade the top eight currency pairs because we want liquidity and we also want to be able to trade 24 hours-a-day. Essentially our prime mission is to try and capture noise and do that in a regular, frequent way so that we can try and generate a daily P&L that is positive, independent of the long-term trend," Bonnefoy says of the Eleuthera approach.

He notes that trend or carry strategies in the forex markets can capture alpha most of the time, however every 10-11 months such strategies hit a rough patch, causing returns to disappear. "We like more predictable returns," he says, explaining that the Eleuthera approach allows him to capture returns even in volatile markets without the problems common to trend or carry strategies.

According to Bonnefoy, Eleutheras models work on a shorter time horizon than other FX managers. By doing this they are able to take advantage of more incremental returns, or intraday opportunities. They can also leverage new algorithms and technology to capture more opport......................

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