Winner: Best foreign exchange hedge fund

Shortlisted 2010
Best foreign exchange hedge fund

Ikos has built a reputation for taking advantage of volatile markets and delivering returns in every environment. The Ikos FX Fund has demonstrated consistent risk adjusted returns since the class launched in March 2008.

The Ikos FX Fund is a completely systematic, quantitative strategy. The fund returned 10.8% in 2008, 18.05% in 2009 and 26.30% in 2010. Since the class inception this managed futures strategy has given an annualised return of 19.42% through December 2010.

While most managed futures funds were under water in 2010, the Ikos FX Fund managed a solid return of 26.30% with a Sharpe ratio of 2.10%.

The Ikos FX Fund strategy is also available as a constituent of Ikos Futures Fund.

The Ikos FX Strategy specifically aims to generate absolute returns in currency markets through systematic trading of a diverse set of models with timeframes ranging from tick-by-tick through medium-term technical up to longer-term fundamental in an attempt to capture as many different types of opportunity as possible in order to make the fund more robust to changing market conditions. The strategy is applied to the major liquid global currencies, maintaining low correlation with major indices and commodity trading advisors (CTAs).

Founder and chief executive officer Elena Ambrosiadou started the company with a reputed $600,000 in a managed account in 1992. Since then Ikos has gown substantially.

Originally headquartered in London, the company moved to Cyprus in November 2009. With over 85 professionals and $2.3 billion in assets under management, Ikos operates a global infrastructure with execution sites, research facilities and key business affiliations in Cyprus, New York, London, Vienna, Frankfurt and Tokyo.

Japan, as one of the world's largest and most inefficient stock markets, was the first target for the Ikos strategy developed by Ambrosiadou and her husband, Martin Coward, a quant analyst who developed a quantitative investment platform while working for Goldman Sachs. [He has since left Ikos.]

Ikos creates and trades strategies based on robust mathematical modelling including statistical analysis, factor analysis and exploitation of multiple time horizon effects.

Econometric models are combined with time-series analysis and market micro-structure models within an integrated risk management and systematic high frequency execution platform.

The company's hedge fund approach to currency trading, coupled with a globally distributed execution platform and enhanced risk control systems, produce a persistent risk/return profile.

Ikos uses its proprietary technology to capture alpha from trading in global financial markets and offering monthly liquidity with daily performance reporting. The company also advises managed accounts and its strategies are available on third-party hedge fund platforms.

Using automated trading the company takes advantage of the low cost and transparent nature of electronic markets. This delivers the benefit of allowing very short-term cost and information sensitive trades to be executed efficiently in real time.

Ikos has been trading currencies for over 14 years. It is a specialist in global quantitative trading of all asset classes using strategies that apply the scientific method to investment management. Ikos creates state of the art proprietary technology to capture alpha from trading in global financial markets and to benefit from high frequency trading in electronic markets.

The company is registered as an investment adviser with the US Securities and Exchange Commission (SEC), is a National Futures Association member registered with the US Commodity Futures Trading Commission (CFTC) as a commodity pool operator and CTA, is authorised and regulated by the Cyprus Securities and Exchange Commission, operates within the European Union's Mifid framework, is a member of the Hedge Fund Standards Board, completed SAS 70 Type 1 certification and is in the process of completing SAS 70 Type 2 certification.

Ikos investment products include fund classes listed on the Irish Stock Exchange and offering monthly liquidity with daily performance reporting. The company has also been advising managed accounts for many years and its strategies are available on third-party hedge fund platforms.

Ikos is launching a Ucits III FX Fund in partnership with Deutsche Bank this year.

Fund facts
Full name of fund: Ikos FX Fund
Name of portfolio manager: Ikos investment team
Name of investment/management company: Ikos Asset Management
Contact information: Alexander Masotti, 1 Iacovou Tombazi Street, 201 Vashiotis Business Centre, 3107 Limassol, Cyprus (+357 2581 4714; marketingoperations@Ikos.com.cy; www.ikos.com.cy)
Launch date: October 1999 (fund inception); March 2008 (class inception)
Assets under management: $1.121 billion (including managed accounts) (at December 31, 2010)
Net cumulative performance since inception: 65.20% (March 2008 - December 2010)
Annualised return: 19.42%
Annualised volatility: 10.52%
Sharpe ratio: 1.74
Strategy: foreign exchange, systematic trading of major liquid global currencies
Share classes: US dollar and euro
Administrator: Daiwa Fund Managers (Ireland)
Auditor: KPMG
Custodian: Brown Brothers Harriman
Prime brokers: Newedge and Deutsche Bank
Legal counsel: Maples and Calder
Domicile: Cayman Islands
Management fee: 2%
Performance fee: 25% with high water mark
Early redemption fees: 2% (if before one year)
Minimum investment: $1 million
Lock-in: none of the subscription date
Redemption/liquidity terms: monthly with notice period 14 business days prior to month end