Capricorn success capped by Best CTA Award.
Beginning 2011 with the addition of a Chief Trader to the investment team, winning the highly prestigious ‘Best Managed Futures/CTA’ award and increasing firm AUM by a third, Capricorn Asset Management looks forward to a stellar year.
As investors put behind them the challenges of preserving their portfolios in the years following the deepest financial crisis in over 40 years, net investment inflows from institutions and high net worth individuals alike began to return to the hedge fund industry. Looking for sources of uncorrelated alpha, the growth in investor confidence in the Capricorn currency programs has been clear, as total strategy assets under management grew by a third.
This increase in AUM has elevated strategy assets to a peak of $88M and total advisory asset to slightly under $300M. Over seventy five percent of the firm strategy assets are from institutional investors the majority being from bank and fund of fund allocations, with the remainder of assets coming from high net worth individuals and private investors. The majority of the recent inflows have come from reputable financial institutions that Capricorn has had long standing relationships with.
Positive investor sentiment for Capricorn was not only limited to direct investments into the currency strategies, as a poll of investment professionals ranging from investors to analysts voted Capricorn as the ‘Best CTA’ in the Hedgeweek 2011 awards. Capricorn was again recognized as a premium currency manager that has consistently produced risk-adjusted returns that is uncorrelated to other asset classes.
“Investors can see that the markets are increasingly offering great value, however instinctively they’re looking for insurance against 2008-like conditions. That’s where Capricorn can add huge value to portfolios and why, in my view, our programs have been so widely recognised by this ‘Best CTA’ award as leaders in the field” Said Mikkel Thorup, Chief Investment Officer.
Investors today are far too aware that having an undiversified portfolio potentially exposes them to negative market swings, and the experiences from 2008 have been a clear lesson. According to the Dow Jones Credit Suisse Hedge Fund Index, since 1994 a composite of established hedge fund strategies averaged an annual return of approximately 9.5%, outperforming the S&P500 by slightly over one percent. However, further analysis on the results reveals that with a correlation factor of 0.56 to the S&P 500, the DJCS Hedge Fund Index returns offer limited protection against the broader market drawdowns. This compares to the Capricorn fxST strategy which since 1999 has produced similar average annual returns to the DJSC Hedge Fund Index, whilst at nearly half the volatility and with only a -0.08 correlation factor to the broader market.
Regarding strength and depth of management, the addition of Bjarne Jensen to the investment team as Chief Trader added greater diversification to the currency strategies. Bjarne brings with him more than 25 years of analysis and trading experience in the Foreign Exchange markets and with financial instruments like derivatives and options. With this strong base and edge, Bjarne’s experience is utilized in the alpha generation process at Capricorn, as well as the day-today activities of trade execution and support both internally and externally. Prior to joining Capricorn, Bjarne worked at Euro Ejendomme A/S and Danske Bank, advising on the development of the currency and interest rate environment. He has also led a foreign exchange team and proprietary trading desk at various international financial institutions throughout his career.
The full article relating to the Best CTA award is available on the Hedgeweek.com website.