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Digital Subscriptions > The Hedge Fund Journal > Issue 141 – Jun | Jul 2019 > Audentia World FX Strategy Readies UCITS

Audentia World FX Strategy Readies UCITS

Versatile structuring and seeding platform with competitive costs

Audentia World FX

Audentia Capital Group’s Audentia World FX Fund received The Hedge Fund Journal’s “2019 CTA Performance Award” for the best performing fund over 3 years in the Currency Specialist CTA (25m) category since when assets have grown to $60m. It made just over 50% between inception in November 2015 and March 2019, working out at annualised returns of over 12%. The volatility has been around 4%, meaning that the Sharpe ratio has been extraordinarily high, over three. The correlation to conventional asset classes has, on average, been near zero, and the strategy has generally been positive during turbulent financial markets: it profited during episodes including the Chinese stock market sell-off between November 2015 and February 2016; Brexit in June 2016; Turkey in August 2018; the global equity sell-off in December 2018, and the Japanese lash crash in January 2019

The strategy focuses on G10 currencies (USD; EUR; JPY; GBP; CHF; AUD; CAD; NZD; SEK; NOK) but, unlike some currency strategies, it does not only trade them against the US dollar. Trading all possible pairs including the “cross” rates results in 45 possible trades.

Audentia’s unique FX trading system draws on diverse influences: the professional careers of the key staff, and academic research. The managers have long experience of discretionary and systematic trading combined with risk management, some of it at FX brokerages. Alberto Llaneza Martín, CEO, Investment Committee and Board Member, founded Audentia in 2012 after 20 years financial markets at UBS Warburg, Dresdner Kleinwort Benson, Unicredit HVB and Societe Generale. Other key FX team members include Javier Garcia Berbel, Head of Trading, who worked for brokers integrating trading and execution systems, and now handles the MetaQuotes systems and risk management, and has integrated MT4 and Fix API. Trader and CAIA Charterholder, Andres Gonzalez Serrano has previously been a proprietary trader and has worked for firms such as HSBC. Quant trader, Agustin Sanchez Blasco, has traded AI and algorithms, and manages two other quants. The internal risk manager is Guillermo Gonzalez Bartoleme, who has been a proprietary futures trader and risk manager, while the external risk manager is Simon Grima, an academic at the University of Malta, who is also President of the Malta Association of Risk Management – and a Board and Investment Committee member of Audentia.

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