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Q&A With Jacobson Fund Managers

 

Company Information:


Co

mpany Name:


Jacobson Fund Managers Limited


Location:


London


Contact Name:


Kathryn Whinney


Product Name:


Jacobson Currency Programme


Product Assests:


$195 Million


Total Assets Under Management:


$217 Million


Firm Inception Date:


February 1995


Number of Employees:


9


Return Information


Annual Performance


1995


1996


1997


1998


1999


2000


2001

 

11.08%


27.36


4.09


20.42


12.72


3.75


1.2%


Statistics


Annualised Performance:


12.01%


Standard Deviation:


6.7%


Sharpe Ratio:


1.49


Parker FX Index Rank as of October 2001:


8 out of 47



 


Questions



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


The Jacobson Currency Programme primarily trades spot FX and IMM currency futures for G7 currencies.


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


A typical market position is held between 2 to 3 days. The trading programme is designed for trading the short term behaviour of the currency markets.


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


Between 5 and 6 positions may be taken per currency per month.


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


The Jacobson Currency Programme will run leverage up to a maximum of four times on a gross amount basis. On a net dollar exposure basis the maximum will be 2.5 times. The average leverage is around 2 times.


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


We no longer believe major currencies follow any direction, but rather move in relative terms. The shift has been seen mostly in the cross-pairs against the euro. Quite often a EUR/USD move keeps a EUR/USD and USD/GBP in fairly narrow ranges. The same behaviour seems to be observed when considering any other triangulated pairs of currencies especially where the euro is concerned.


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


Most likely the euro/dollar and euro/pound with equal emphasis. Our view to a degree is based on what has continued to be a large discrepancy between the way in which the ECB monitors economic reality versus the more hands on approach of the Fed or the Bank of England. The euro is to a large extent still viewed by many in the market as a political currency. Hence it will continue to provide the most volatility when related to other major currencies. This is why the cross-pairs based on the euro will provide the best opportunities on an overall basis.


7. What opportunities do you see in emerging markets?


We see a growing opportunity to include emerging markets as a potential contribution to currency trading. The principal benefit being to increase risk diversification so long as the emerging market currencies maintain relatively low correlations to the majors.


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


Like most customers of the FX markets we keep hearing about wonderful things about to happen with respect to trading platforms and portals. I think we will continue to wait and see on the question of trading portals. What is going to be more interesting is the development of direct access to market liquidity. There is already one example at the CME of this working in practice and, if it continues to work well, we will see more interest by participants favouring access to liquidity rather than yet another failed Internet start-up story; as we believe FX portals will end-up being.


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

Our biggest concern is with diminished relationships and accountability. As more trading technology and platforms come into existence, the cost of staff to banks and brokers will increasingly become seen as an overhead to be diminished which will most likely reduce the overall numbers and quality of staff. That is simply the way these things turn out, and with larger institutions, it is a case of history always repeating itself when it comes to avoiding the mistakes of the past.

Profit & Loss

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