Summary

The Currency Futures Alpha Strategy is a systematic-driven program focused on major currency futures. The program considers the major cross pairs of the Australian Dollar, British Pound, Canadian Dollar, Euro, Japanese Yen, and New Zealand Dollar to trade on the Chicago Mercantile Exchange. Valorem reserves the right to trade in alternative currency futures products at the discretion of its Trading Principal.

While utilizing a primarily systematic approach, the Currency Futures Alpha Strategy is designed to capitalize on macro driver’ impacts on the markets to take advantage of opportunities for mean reversion. By employing relative value trades in the major currency futures, the program capitalizes on the divergence caused by the macro factors, in the expectation of convergence to an equilibrium.

The program aims to mitigate risk and provide consistent returns across all market cycles with low correlations to other asset classes and maintain a high degree of liquidity and transparency. Generally, the program is designed to limit exposure to the US dollar and does not intend to trade the US dollar.