FX / Spot Currencies Portfolio
From AlphaMind Hedge Fund
Since 2022
Designed by AlphaMind’s hedge fund currency research team, leveraging deep learning quantitative models and fundamental analysis, to capture long-term trends and cyclical shifts in the global forex market
Strategy Overview
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Framework: Combines macroeconomic factor modeling with time-series forecasting to systematically identify high-conviction opportunities across major currency pairs.
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Strategy: Captures directional moves driven by interest rate differentials, trade flows, geopolitical cycles, and monetary policy dynamics.
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Holding Period: Medium to long term positioning, typically ranging from 1 to 3 months.
Performance
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Cumulative Return (since Jan 2022): +257%
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Annualized Return: ~38%
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Maximum Drawdown: <16%
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Sharpe Ratio: 1.37
Risk Management
Adaptive Risk Engine:
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Position sizes are dynamically scaled based on real-time changes in market volatility and liquidity conditions.
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Risk parameters adjust based on macro regime shifts and factor exposure control quantitative models
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Filters out short-term volatility and sentiment-driven anomalies to ensure signals are fundamentally grounded.
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Immediate close position during Black Swan event, high-volatility or tail-risk events
Diversification:
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Exposure across multiple economies and major currency pairs.
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Low internal correlation as currency trends are driven by country-specific macro fundamentals.
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Enhances portfolio resilience and return consistency when combined with traditional asset classes like equities.