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Oxeye Capital Management Limited, based in Salisbury, Wiltshire (UK) and lead by industry veterans John Parry and Martin Petherick, says its Oxeye FTSE 100 Strategy celebrates 10 years of profitable trading.
On an unleveraged basis since inception in July 1997 it has produced an annualised average return of 8.3% with a Standard Deviation of 6.7%. However on a fully leveraged basis, which allows a maximum gross exposure of 20x the underlying assets, the strategy has produced an annualised average return of 69% with SD of 85% (at a gross leverage of 15x on average). Oxeye says the strategy is systematic - it does not attempt to call market direction or hedge movements in volatility. It is the firm's most high risk strategy, according to an investor communication obtained by Opalesque.
Oxeye underlines the strategy has been remarkably resilient despite experiencing some volatile stock market events. It survived the LTCM crisis of 1998, a strong bull market between 1998 and 2000, the 9/11
crash in 2001 and the bear market of 2000 to 2003, when FTSE fell from a high of 6950 to a
low of 3277, a decline of 53%. It has even survived a period of low Implied volatility (2004 to
2006). Low volatility was the main cause of the one losing year in 2005 (down 6.55%).
Oxeye says the programm's strength has been its ‘self healing’ capability after big Implied Volatility increases. "When stocks decline precipitously IV rises sharply and, although the initial declin...................... To view our full article Click here
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