Sequoia Capital Fund

Management LLP (Systematic FX)

Fund Investment Objectives

SCFM's SYSTEMATIC FX model is designed to capture Alpha in the G10 spot FX markets using quantitative models to signal short-term statistical misalignments in the individual crosses on a daily basis. Positions are typically held for a few hours to a few days. In order to achieve its targets the program has been developed incorporating proprietary technologies to construct a portfolio which targets a 15% volatility with Sharpe Ratio of 2.0 across different market conditions. Full automation of signal generation, portfolio construction, position scaling, risk management, and trading is coupled with a seldom-used but important discretionary overlay allowing the PM to scale the portfolio down in the event of exceptional market risk. This strategy is uncorrelated to major CTA indices, trend-followers, mean-reversion, volatility, and carry.