- Advertisement -
- Advertisement -

Related

A Future Up in the Air

Industry Report

- Advertisement -

Stockholm (HedgeNordic) – The future of the only pure currency hedge fund in the Nordic Hedge Index seems very much under doubt after the Board of Directors of Kapitalforeningen Jyske Portefølje – part of Danish asset manager Jyske Invest – proposed the liquidation of FX Alpha II KL. The Board has convened an extraordinary general meeting on November 27, with the agenda for the meeting featuring the liquidation of FX Alpha II KL.

“At the Board meeting on 11 November 2020, the Board of Directors of Kapitalforeningen Jyske Portefølje has decided to recommend the liquidation of FX Alpha II KL in accordance with sections 140 and 141 of the Act on Managers of Alternative Investment Funds,” says a letter by Managing Director Jan Houmann.

Jyske Invest’s FX Alpha aims to generate consistent absolute returns by exploiting short-term imbalances in foreign exchange markets. Though FX strategies are typically viewed as highly volatile, FX Alpha represents a low-risk alternative to FX exposure, having experienced a maximum drawdown of 2.7 percent over the past nine years. Despite managing to protect capital in turbulent periods such as the fourth quarter of 2018 or the beginning of 2020, FX Alpha has not been able to generate sufficient returns. The fund is down 0.7 percent year-to-date through the end of October and gained 0.7 percent in the past 36 months. FX Alpha has seen its asset under management fall from DKK 645 million at the end of January this year to DKK 358 million at the end of October.

Christina Andersen and Jakob Amdi Frederiksen (pictured) are the two lead portfolio managers fully dedicated to the strategy employed by FX Alpha. The strategy has been based on a fully discretionary setup, ultimately relying on the portfolio managers’ experience. The team’s disciplined risk management, partly stemming from stringent stop-loss management, has resulted in very low volatility of returns. FX Alpha delivered an annualized return of 1.7 percent since March 2011 with an annualized standard deviation of 1.05 percent. This low volatility has led to an inception-to-date Sharpe ratio of 1.65.

Subscribe to HedgeBrev, HedgeNordic’s weekly newsletter, and never miss the latest news!

Our newsletter is sent once a week, every Friday.

Eugeniu Guzun
Eugeniu Guzun
Eugeniu Guzun serves as a data analyst responsible for maintaining and gatekeeping the Nordic Hedge Index, and as a journalist covering the Nordic hedge fund industry for HedgeNordic. Eugeniu completed his Master’s degree at the Stockholm School of Economics in 2018. Write to Eugeniu Guzun at eugene@hedgenordic.com

Latest Articles

Rising Adoption of Quantitative Investment Strategies Among Nordic Investors

From a high-level perspective, there is a clear trend of increasing adoption of quantitative investment strategies (QIS) among Nordic institutional investors, either through the...

EU Plans Stress Test for Hedge Funds and Non-Bank Firms

European regulators are planning a stress test to identify vulnerabilities beyond the traditional banking sector, focusing on less regulated entities such as hedge funds,...

ALCUR Fonder Continues Hiring Spree

Following two earlier additions this year, ALCUR Fonder continues to expand its portfolio management team at a notable pace. The Stockholm-based hedge fund boutique...

Nordic Private Markets Modernize with Data-Centric Trade Lifecycle Automation

By Anders Stengaard Jensen at Indus Valley Partner: In recent years, asset managers in Nordic countries have accelerated efforts to modernize trade operations, particularly...

Norwegian Hedge Fund Industry Sees Major Boost with New Launch

The Swedish and Danish hedge fund industries remain closely matched in size, with Denmark recently edging ahead of Sweden. While still less than half...

Atlant Funds Hold Up in May Despite Mistimed Market Call

Macroeconomic and market forecasts are notoriously difficult, even for experienced hedge fund managers. What matters more than being right, however, is ensuring that incorrect...

Allocator Interviews

In-Depth: High Yield

Voices

Request for Proposal

- Advertisement -
HedgeNordic
Privacy Overview

This website uses cookies so that we can provide you with the best user experience possible. Cookie information is stored in your browser and performs functions such as recognising you when you return to our website and helping our team to understand which sections of the website you find most interesting and useful.