FX FX MANAGERS JW: How is the company structured
today? What are the key positions in an FX Management company? MM: Conquest Capital Group
is based in New York with a current headcount of 12 people. As anyone would suspect, our quantitative research team is vital to the success of our business. Tat being said, our middle and back office and IT teams keep the business running smoothly. People oſten underestimate the importance of these roles.
JW: Which authorities regulate
Conquest? Do you keep and update procedure manuals, and a compliance and risk management policy? How time consuming and how important is it to satisfy regulation requirements on one side, and internal procedures on the other? MM: Conquest Capital LLC is
registered with the Commodity Futures Trading Commission as both a commodity trading advisor and a commodity pool operator and is a member of the National Futures Association in such capacities. We are very proud of the compliance
and risk management policies and procedures that we have instituted within Conquest. Our internal documents such as our Compliance Manual, Employee Manual, and Business Continuity and Disaster Recovery Policy are updated at least annually and all members of the firm are required to sign an affirmation to acknowledge their understanding of the contents contained therein. With the proper policies in place, and the culture of the firm established, we feel our internal procedures and controls
48 FX TRADER MAGAZINE July - September 2010
actually go above and beyond our regulatory requirements. It is with this proper foundation and culture of compliance that makes ongoing maintenance a much less burdensome task and general revisions and routine testing become familiar aspects in our ordinary course of business.
JW: How would you describe your
investment strategy? MM: Conquest Macro FX is a
short-term systematic trading strategy with a trend-following bias. Research has shown that new information is not assimilated instantaneously by all market players. Prices move in “random walks” with mean reversion in trading ranges most of the time when supply and demand are in balance and trend the remaining time due to supply and demand imbalance as information is absorbed in the market. Put more simply, markets spend short periods of time going to new trading regions, and most of the time consolidating in those regions. Some factors that affect the existence of trends are: 1) Information oſten comes out
gradually. For example, the state of an economy is implied in a plethora of economic statistics that come out one at a time. 2) Monetary policy changes are
implemented incrementally rather than in one large move. 3) Information might require
analytical processing, which is not instantaneous. Information inflow is continuous,
and so is the absorption process. As more and more players react to news and enter the market, the market trends. Te existence of trends is verified
by academic research, which shows skewness, kurtosis and auto-correlation beyond what one would expect from the random walk theory. However, it is critical to apply disciplined risk control when trading, as one cannot know for sure when a trend is starting or ending. Not all trades will be profitable, but disciplined money management will ensure that drawdowns are kept to an acceptable level while waiting for the next profitable trend to start.
JW: How and when did you develop
your current FX management strategy? MM: Te system has been trading
since May 1, 1999. However, the composition of the program has evolved over time as new systems have been added and markets have been adjusted.
JW: Risk, an exciting yet dangerous
word. How do you manage it? MM: Risk management is inherent
to our goal of maximizing the average return divided by the largest cumulative drawdown. Aſter creating a robust system and a well-diversified portfolio that maximizes our return relative to this largest drawdown, we select our level of exposure so that the maximum hypothetical drawdown is well below our acceptable real-time drawdown level.
JW: Do you use a blend of strategies
for diversification? MM: Conquest uses quantitative
models to ensure disciplined investment decisions. In order to maximize the diversification benefits of the currencies traded, Conquest uses several trading strategies. Within each strategy, the parameters are the same
Page 1 |
Page 2 |
Page 3 |
Page 4 |
Page 5 |
Page 6 |
Page 7 |
Page 8 |
Page 9 |
Page 10 |
Page 11 |
Page 12 |
Page 13 |
Page 14 |
Page 15 |
Page 16 |
Page 17 |
Page 18 |
Page 19 |
Page 20 |
Page 21 |
Page 22 |
Page 23 |
Page 24 |
Page 25 |
Page 26 |
Page 27 |
Page 28 |
Page 29 |
Page 30 |
Page 31 |
Page 32 |
Page 33 |
Page 34 |
Page 35 |
Page 36 |
Page 37 |
Page 38 |
Page 39 |
Page 40 |
Page 41 |
Page 42 |
Page 43 |
Page 44 |
Page 45 |
Page 46 |
Page 47 |
Page 48 |
Page 49 |
Page 50 |
Page 51 |
Page 52 |
Page 53 |
Page 54 |
Page 55 |
Page 56 |
Page 57 |
Page 58 |
Page 59 |
Page 60 |
Page 61 |
Page 62 |
Page 63 |
Page 64 |
Page 65 |
Page 66 |
Page 67