TRADERTALK
Left: Damian Zihlmann, Middle: Cengiz Temel, Right: Pablo Frei
What currency Alpha programs does Quaesta Capital run? Please give a brief overview of them.
Quaesta Capital currently runs three FX Alpha programs. Te Foreign Exchange Multi-Manager Program (FX-MMP) is a diversified pure FX fund of funds, investing into the best currency managers globally. Te goal of the program is to deliver robust, sustainable and risk-adjusted returns with low correlation to traditional asset classes. FX-MMP is the result of an extensive and thorough systematic due diligence selection process of the whole FX single manager universe. Te portfolio is optimised and diversified over three dimensions - style, currency and time horizon - and it is tactically rebalanced on a monthly basis. Te portfolio typically consists of 8 to 12 selected single currency managers.
As a single strategy, we offer our FX volatility program v-Pro. v-Pro is a long/short FX volatility program. Four different volatility strategies are adopted in order to achieve stable returns in various market environments. v-Pro uses a blended approach: Profitable trades are identified through quantitative analysis of the volatility and spot markets combined with discretionary filtering through our portfolio management team. Investments are mainly done in highly liquid major currencies, completed by opportunity trades in emerging currencies. v-Pro is offered as a Luxembourg based SICAV-SIF Investment Fund and as managed account.
178 | april 2011 e-FOREX
Our second single FX strategy is the vTrader FX program. vTrader is a fully systematic strategy based on algorithmic trading. vTrader technology uses time series approaches which are analysed and tested with Computational Intelligence methods. In detail vTrader develops evolutionary algorithms which replicate mechanisms of a natural evolution by a computer program. vTrader is offered as managed account and invests into the highly liquid major currencies.
How many FX programs are you currently monitoring in your database?
With roughly 200 pure FX programs in our proprietary database we believe we are one of the only asset managers that track almost every professional FX program globally available. We stay in direct contact with every manager and store their data on a real-time basis. Of the 200, less than 100 are investment grade and just about 30 programs are part of our current short list. Our multi-manager program usually consists of eight to twelve single managers with the aim of giving investors access to the best team of global FX managers.
Does “big is beautiful” also work when thinking of selecting the best FX managers?
Unfortunately, not at all. We have been and continue to track several programs from global institutions, where some have stopped because of poor returns. Most of the existing ones are at best, average return
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