Strategy
Key Points
The Strategy uses FX Statistical Arbitrage, and trades only in the main Forex crosses. The strategy seeks to achieve positive returns every year through the combination of four uncorrelated different buckets.
Absolute
RETURN
In an environment of high potential risks in equities and fixed income.
True Alpha
GENERATION
Through a system that pushes the probability to lose to the extreme
Uncorrelated
Result
With any other asset type and investment category
All advantages of
ALTERNATIVE MANAGEMENT
Under the figure of UCITS & SIF funds and managed accounts.
Exceptional
OPPORTUNITY
Few funds in the sub-category of "Alternative - Currency".
23
PROFESSIONALS
The management team includes 7 quants (engineers/mathematicians) and 3 economists.
Strategy
Details
Mathematical
MODEL
Identifies extremes in the currency market
The
CURRENCIES
While staying within a set range, show high mean reversion.
USED
28 CURRENCY PAIRS
As a result of combining the 8 OECD selected currencies.
Different optimum
ENTRY LEVELS
Each position includes different optimum entry levels detected by the model
Opportunities
EXITS
The exit points are key for the success. The model provides the optimum exit points
LOSS
PROTECTION
The allocation process is key to avoid losses by pushing the probability to lose to the extreme.
Investment
4 Sub-Strategies
1
GLOBAL
- Mean reversion strategy
- Entries at important overbought and oversold extremes.
- Quick exits compared with the other strategies.
- Takes advantage of lateral and high volatility situations.
2
SUPCANDLE
- Entry point in favor of the trend, however, it is not a trend follower as it does not to stay in the trend until it finishes.
- Takes into account trend at an intrinsic and extrinsic level.
- Entries only happen when the pair begins a trend favoring the existing position.
3
VALUATION
- Mean reversion strategy
- A target price is established for each pair based on fundamental parameters.
- Trades are only performed in the right direction in order to reach the theoretical price for the pair.
4
INTEGRATION
- Entry point in favor of the trend (both short and medium term), however, it is not a trend follower as it does not stay in the trend until it finishes
- Risk-return study of a combined position of 5 to 6 pairs.
- Projection of an established return for the pairs as a group instead of an individualized process like the other strategies.