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A SQUARE

A fund that trades G10 currencies, futures and index options

Thursday, May 21, 2009
2009 performance (Share Class A) up to of 31 March 2009 is +7.73%.

A SQUARE :: 21May09 A fund that trades G10 currencies, futures and index options
Category Foreign Exchange
Faculty Chumli Hou
Expertise Foreign Exchange
Author Sona Blessing
Faculty Name
Model strategy driven contagion (historically as evidenced in Aug.’07)- manager's believe currency funds are less prone to such contagion, and studies they undertook suggest such events are less likely to happen
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[28May09] [Foreign Exchange] A currency index and a fund
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[23Apr09] [Foreign Exchange] Systematic exploitation of structural inefficiencies in currency markets
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[12Sep08] [Foreign Exchange] Currency pair mean reversion, equilibrium - exploited in a portfolio
We also have some evidence that the adjustment toward equilibrium levels tends to be non-linear. This means that currencies with larger misalignments are increasingly likely to mean-revert rapidly.

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[21Aug07] [Foreign Exchange] FX Series With Hathersage Capital – II
Our experience, as early FX option market makers has taught us to be long as opposed to being short gamma, since extreme events or markets can wipe out option sellers.

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[14Aug07] [Foreign Exchange] FX Series with Hathersage Capital – I
Foreign exchange (FX) absolute return is one of the purest forms of uncorrelated alpha and, unlike many alpha sources, requires little or no funding

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[13Mar07] [Foreign Exchange] FX check
Allocating to currency will be seen as a vital component of any well designed investment portfolio … and more

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[30Jan07] [Foreign Exchange] PGS FX Alpha Edge
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