JRC FX-Core-Strategy

The JRC FX-Core-Strategy originated in 2003 from the long experience of the JRC Capital Management in the areas of active asset management and scientific research in quantitative trading strategies. It is the foundation of many of our solutions and has been continuously in use, on the one hand as a research base, that is continuously monitored and further developed and on the other hand as a basis for financial products for a minimum investment of €5 million.

The object of this investment strategy is to generate absolute capital growth with the systematic trading of the major currency pairs. It seeks to capitalize on short-term and medium-term price trends in bull and bear markets. Moreover, it provides a risk-return profile, which is an interesting diversification to traditional investments such as stocks and bonds.

The unique aspect of the JRC FX-Core-Strategy results from the variation of our analysis on three levels.

  • Using different currency pairs
  • Combination of trend following and trend changing approaches
  • Using of different time frames

Always on the pulse of time, the team of JRC Capital Management is searching for new approaches for quantitative trading systems to find the optimal solution for the dynamic, ever-changing and sometimes even chaotic market conditions.

Since the implementation in 2003 the investment universe of the JRC FX-Core-Strategy has been continually extended and optimized. Integrated trading systems are reviewed regularly. In order to do this we consider the stability of the systems, the key performance numbers and the current market environment. New trading approaches, which result from the synergy effects from the cooperation of the trading and research department, are going through a series of test steps and a live tracking phase before they were integrated in the JRC-FX-Core-Strategy. The composition of the core strategy is based on a balanced combination and allocation of the carefully tested trading algorithms considering their specific risk characteristics, so that they form an optimally diversified portfolio.

Jan.Feb.Mar.Apr.MayJun.Jul.Aug.Sept.Oct.Nov.Dec.Year
20181.660.41-0.160.460.95-0.070.210.080.561.07 0.585.91
20170.510.47-0.780.480.341.190.940.071.54 0.95-0.730.425.52
2016-0.450.11-1.21-0.91.890.11-0.680.510.330.611.310.652.27
20151.19-0.18-0.730.080.23-1.332.570.92-0.031.400.96-0.994.09
20141.030.88-0.141.140.240.822.08-1.640.78-0.350.670.576.20
20131.53-2.860.610.250.01-1.34-1.15-0.64-2.201.46-0.90-0.49-5.69
20122.150.61-0.71-1.12-0.24-0.2-0.27-0.74-0.531.330.230.540.96
20110.56-1.032.639.33-1.79-0.982.67-3.44-0.310.613.04-0.7810.36
20104.81.42-2.07-0.883.83-0.661.39-0.63-0.341.120.811.0910.08
20094.93-1.837.470.591.47-5.023.55-2.241.040.500.121.8212.41
2008-1.331.17-1.97-1.621.10.57-1.652.59-1.76-2.04-4.025.21-4.06
20070.812.021.970.35-1.181.110.691.032.83-1.921.882.5612.69
2006-1.532.051.412.81-0.220.19-0.63-1.662.64-0.21-0.60-1.752.33
20051.490.61-0.551.520.633.112.073.03-1.462.711.900.3216.34
20047.684.372.835.197.152.060.743.081.682.373.703.2753.84
20033.462.502.070.98-0.358.91

Source: JRC FX-Core-Track-Record (Net Performance incl. 1.5%  Management Fee und 20% Performance Fee)