Opalesque Solutions

FX Basket Quant - Currency Trading Program

Quant Trading, LLC

Company Overview

Quant Trading LLC is a limited liability company engaged in the quantitative trading research and management of client and proprietary assets. Quant Trading LLC manages assets across currency, equity and commodity asset classes and related derivative instruments in the global markets for an international clientele. The investment strategies of Quant Trading LLC include quantitative currency trading (managed Forex), quantitative equity long/short and volatility trading.

Fund Strategy

FX BASKET QUANT (FXBQ) is a systematic, quantitative trading program, which trades currencies in the cash ("spot") markets. The strategy creates a complex portfolio of 10 global (G10) currencies and adjusts its components daily.

The strategy exploits the asymmetry of percentage increases and decreases of price returns. For example, if the NZDCHF price return is positive, the CHFNZD return will be negative, but the sum of these two returns will always be positive, although denominated in different currencies. The strategy trades all currency crosses between 9 base currencies, accumulates returns in base currencies and periodically converts them into USD. Based on positions of all components (a total of 72 currency crosses), positions are consolidated into the base 9 currencies against the US Dollar. The resulting positions are then implemented in the market. The trading strategy is always in the market, but portfolio weights are adjusted daily.

Risk control is achieved through a variety of means which in most market conditions should minimize drawdowns. The first is portfolio construction and diversification; second is portfolio concentration control through position size limitation according to account size (the position size limit for each currency is currently 100% of NAV); and third is a catastrophic stop based on money management rules (can be selected by the investor).

Quick Facts

Category: Forex
Fund Launch Date: 2013-02
Monthly Performance Data:
Aug -1.84%

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