LNG CAPITAL

LNG GLOBAL FX

Year-to-Date
N/A
Minimum Investment
50,000
Management Fee 2.00%
Performance Fee 20.00%
Annualized Volatility 7.56%
Sharpe (RFR=1%) 0.94
CAROR
Assets 13,200,000
Worst Drawdown -3.69
S&P Correlation 0.35

Summary

The LNG FX Global Trading Program is a systematic trading program that employs trend detection and breakout strategies across 30 global currency pairs in G10 and developed emerging markets. The investment objective is to generate attractive risk adjusted net returns of approximately 10% with a target volatility of 5% with minimal correlations to other major market and hedge fund indices. The proprietary portfolio construction algorithm incorporates enhanced modern portfolio theory to determine optimal allocations. Money management discipline is employed to generate entry/exit points. The program employs a sophisticated risk management system that takes into account the price, size and volatility of currency pairs traded. Risk is monitored on a daily basis targeting VaR. During drawdowns the system reduces market exposure by scaling back leverage and position size.