A news release from the company said the Volatility Fund, available in both offshore and onshore versions, offers monthly liquidity and a minimum investment of $250,000. Fees are 1.5% and 20%. FX Concepts said that in addition to the funds, the Volatility Program will also be offered through a total return swap where clients receive/pay the returns of the program on a monthly basis based on their share of the swap.
According to the announcement, the Volatility Program is an outgrowth of two non-directional strategies that FX Concepts has been operating since March 2002. The first is the options component of the Developed Market Currency (DMC) program which has $900 million AUM. The second is a stand-alone options program ($250 million AUM) that was developed for an institutional client a year later, based on the experience of the DMC options program.
The Volatility Program will be composed of
sub-modules and is made up of three non-directional
strategies. FX Concepts will retain the right to
add new sub-modules and also to dynamically weight these
modules based on the goal of maximizing return per unit
of risk. The Volatility Program will target an annualized
return of around 15%, the company said.
FX Concepts is a currency manager with over $12 billion in AUM in multiple absolute return and currency overlay strategies, according to the company.
More information is at www.fx-concepts.com .