Excalibur Absolute Return Fund reported a small positive return of 0.08% in September bringing their year-to-date cumulative performance to positive 9.76%
Excalibur reduced leverage to preserve capital and commented it was a tough month with extreme deleveraging and position shakeouts in their targeted currency pairs.
Excalibur employs a currency/FX strategy trading the Australian and New Zealand Dollars against the Japanese Yen. The fund aims to exploit significant interest rate differentials between the countries whilst holding put options over the core position to improve capacity, control risk and allow for profit generation in down months.
