QFS Asset Management is shutting its sole remaining hedge fund and returning nearly $1 billion to clients, making it the latest casualty of increasingly treacherous foreign-exchange markets.

The closure comes after the Greenwich, Conn., firm's currency program lost 8.7% in 2013 and 8.6% in 2012, the first time in at least 20 years that QFS has lost money in two consecutive years, according to firm documents. At its height in 2005, QFS managed more than $5 billion.