Investment Objective and Policy
The investment policy of the GFG FX Algorithmic Fund (“Fund”) is to raise and administer investments in a transparent and cost efficient manner to provide high current income by investing primarily through a short-term, complex, risk-weighted investment strategy.
The investment objective of the Fund is to trade in foreign exchange ("FX"). The Fund will be structured and managed to achieve the following objectives:
- generate short-term total returns (net of fees and expenses) through active selection and implementation of algorithmic trading strategies ("Algo-Strategies") and an active portfolio management program ("Portfolio Management Program");
- control risks through diversification of currencypairs traded, and Algo-Strategies employed.
FxPro Financial Services Limited of 1 Karyatidon, Limassol VY - 4180, Cyprus, incorporated in Cyprus (with registered number 181344) and regulated by the Cyprus Securities and Exchange Commission (with licence number 078/07)has been appointed as the Investment Advisor to the Fund.
The Investment Manager and the Investment Advisor believe short-term volatility in the FX markets can be used to make returns. As a result, a range of Algo-Strategies will be utilised to provide signals for trading contracts for differences (“CFDs”).
Through the Portfolio Management Program, the Investment Advisor will advise the Investment Manager, who at its absolute discretion, will decide the amount of assets that will be invested in accordance to each Algo-Strategy. The Algo-Strategies may maintain multiple open trades, which may last from few minutes up to a few days.
A strategy of the Fund is to monitor a range of technical indicators, including but not limited to the Relative Strength Index, the Stochastic Oscillator, moving averages, the Commodity Channel Index, the MACD, Williams’ Percent Range, Bollinger Bands®, the Average True Range, volatility filters, Fibonacci levels, pivot points, the Average Directional Movement Index, and the Parabolic SAR.
The technical indicators may be used for:
- trend following – identify the direction that a currency pair is moving in and open positions in order to follow the trend;
- scalping – take advantage of small market inefficiencies, predominantly found during the less liquid trading hours;
- mean reverting – operate under the assumption that a given currency pair will return back to its historical average.
The Algo-Strategies will undergo the following tests prior to their use:
- back-tests – apply the investment strategy on historic data in order to evaluate its performance;
- forward tests – provide statistics about the potential future performance of the investment strategy;
- stress tests – evaluate the performance of the investment strategy under a variety of future scenarios, focusing on the risk of the strategy under an extreme negative scenario.
The Portfolio Management Program utilises a variety of optimisation techniques and risk metrics in order to provide the optimal asset allocations and leverage between the Algo-Strategies.
The Fund will take an active approach to managing exposures to currencies, predominantly investing in currency related financial derivative instruments, where appropriate through special purpose vehicles. In particular, it will invest in CFDs, forward and option instruments on FX and in FX spot trading
- Class A, EUR denominated, Participating Shares
ISIN: GG00BQRRWB08 / SEDOL: BQRRWB0
- Class B, USD denominated, Participating Shares
ISIN: GG00BQRRWC15 / SEDOL: BQRRWC1
- Class C, GBP denominated, Participating Shares
ISIN: GG00BQRRWD22 / SEDOL: BQRRWD2
- Class D, EUR denominated, Participating Shares
ISIN: GG00BQRRWF46 / SEDOL: BQRRWF4
- Class E, GBP denominated, Participating Shares
ISIN: GG00BQRRWG52 / SEDOL: BQRRWG5
- Class F, EUR denominated, Participating Shares
ISIN: GG00BQRRWH69 / SEDOL: BQRRWH6
- Class G, GBP denominated, Participating Shares
ISIN: GG00BQRRWJ83 / SEDOL: BQRRWJ8
- Class H, EUR denominated, Participating Shares
ISIN: GG00BQRRWK98 / SEDOL: BQRRWK9
- Class I, GBP denominated, Participating Shares
ISIN: GG00BQRRWL06 / SEDOL: BQRRWL0
The specific terms and conditions of the Fund as well as the risk factors and other information specific to the Fund are set out in the Supplemental Particulars.
The Fund is a cell of GFG Fund PCC Limited, and the Supplemental Particulars of the Fund should be read and construed in conjunction with the Scheme Particulars relating to GFG Fund PCC Limited.
Copies of the Scheme Particulars and Supplemental Particulars can be obtained from the (i) Investment Manager, GFG Limited, (ii) Administrator, Louvre Fund Services Limited, or (iii) Investment Advisor, FX Pro Financial Services Limited.