FX MANAGERS
frame in your strategies? What is your average trade duration and trading frequency?
UL
Our models operate in the 2-4 month time-frame in which mean-reversion gives rise to many profitable trends. That horizon also permits the trading activity to be rather limited compared to high frequency trading exploiting shorter-term factors.
JW
What is the average leverage that you normally use? and the maximum leverage?
UL
Maximum leverage is 2.5 times, minimum is 0.5 times; both are used about 25% of the time with portfolios using no leveraged 50% of the time, resulting in an average leverage of 1.3 times – a factor that has been steady over the past 17 years when our historical model-signals are examined.
JW
How many execution brokers do you use? How do you split execution between electronic and voice?
UL
Trading is by voice and we utilize around 15 counter-parties with several of them tied to specific clients in the active hedging program since clients must have dedicated FX credit lines that we
utilized to place and remove hedges in their name acting as an agent.
JW
Which historical data do you use when developing your strategies? How important is that?
UL
Price-data has been the only input and is the only input in the models.
JW
Which software do you use in the research, risk and reconciliation functions?
UL
Our programs have been developed in-house to match how our models and strategies operate.
JW
How does liquidity impact the efficiency of your strategies? Have you already explored to what AUM limit the strategies would allow you to grow to?
UL
Since our currency alpha program is designed around the G-4 currencies, the $4 trillion in daily turnover, of which 70% or so is in the G-4, means that the strategy can accommodate billions in AUM, particularly since the strategy adjusts positions on average once a week.
JW What is the biggest strength of FX TRADER MAGAZINE July - September 2011 55
your team? UL
Team-members have been with the firm for many years and are extremely well versed in the firm’s strategy and in implementing the model output.
automation of the signal generation and trading processes has been beneficial over time.
JW
Can you give us your feeling about the move of the EurUsd in the next 6/12 months?
UL
As trend-followers, we reserve the right to change our forecast at any time as a trend reverses, but as of end of May 2011, our models are indicating that the euro most likely has peaked against the dollar after rising in the first part of 2011. The dollar is poised to move higher in the months ahead, potentially by a significant percentage.
JW
What’s the main advice you would give to traders who want to enter the FX fund management industry?
UL
Carefully examine potential firms as to what their future growth might be in terms of AUM, what strategies they employ, and what long-term risk those strategies may have.
FX
The increased
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 |
Page 68 |
Page 69 |
Page 70 |
Page 71 |
Page 72 |
Page 73 |
Page 74 |
Page 75 |
Page 76 |
Page 77 |
Page 78 |
Page 79 |
Page 80 |
Page 81 |
Page 82 |
Page 83 |
Page 84 |
Page 85 |
Page 86 |
Page 87 |
Page 88