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Q&A With Foreign Exchange Management


Company Name:


Foreign Exchange Management


Location:


Chrummwisstrasse 58 8700 Küsnacht/Zurich Switzerland


Contact Name:


Louis Grosjean


Phone No:


0041 1 912 08 88 or 912 08 89


Fax No:


0041 1 912 08 88


email:


louis@grosjean.ch


Product Name:


FEM Currency Portfolio Ltd. (Inception Date: Jan. 1998)


Product Assests:


US$ 9.5 million


Total Assets Under Management:


US$ 9.5 million


Firm Inception Date:


July 1992


Number of Employees:


1


 


Return Information


Annual Performance


1998


1999


2000


2001


2002

 

13.86%


-10.60%


17.31%


-2.95%


0.94% per Feb.



Statistics


Annualised Performance:


4.06%


Standard Deviation:


15.90


Sharpe Ratio:


0.25


Parker FX Index Rank as of January 2002:


2 out of 45



Questions



1. What types of instruments do you trade (eg, spot, forward, options)?


Forward positions up to the end of the month for EUR/USD, USD/CHF and USD/JPY.


2. What is the average length of time positions are held?


12 – 13 days (due to system results).


3. What is the average number of positions taken during the month?


I trade two different systems for three currency pairs (see question one), a trend following system and a break out system. This makes a total of six possible buy or sell signals. On average, each system trades one time during the month.


4. Is leverage used? If yes, maximum leverage amount? Average leverage amount?


The maximum leverage used in my fund is 3 times the collateral. The average leverage amount is between 1.5-2 times the collateral.


5. What is your outlook for the major currencies for the remainder of the year?


My systems are adjusted on a daily basis. I do not use any long term forecasting system. However, I see no reason not to continue to be bullish on the US dollar relative to each of the major currencies. These trends are still intact. But working with systems means following with discipline your predetermined plan of action and avoiding emotionally-charged decisions.


6. In which currency pair do you see the best opportunities over the next six months?


The yen against all major currencies.



7. What opportunities do you see in emerging markets?


Liquidity is still a key issue. I would never trade any market that offers anything less than full liquidity (slippage on executed orders).


8. Have FX trading portals made it easier to transact business, or have they had no effect on your business? Please explain.


They may have made it easier for some market participants but it had no effect on my business. For me the question is how do I transmit to the bank my orders. I do it by sending an order sheet by mail on a daily basis, from wherever I am. The bank is watching these orders on a 24-hour basis and calls me directly if any order is executed. This often gives the possibility for a short chat which in my opinion keeps the good and important relationship alive.


9. What is your biggest concern about the future of the FX market (eg, bank consolidation, liquidity, exchange rate risk, diminished personal relationships)?


Generally I’m positive. I hope that after this long period of bad stock markets, investors will discover the FX market as a good alternative investment again. Bank consolidation is not a problem if you work with a large bank already. With a daily trading volume average of $2 trillion, the FX market is certainly the largest and possibly the most liquid financial market worldwide. Therefore the exchange rate risk is lower than on any blue chip stock. Since the inception date of my fund in 1998, there is still the same team working on the execution desk. So there again the trend is stable and gives me no reason for concern.

Profit & Loss

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