FX MANAGERS
volatility and trading ranges to be analyzed.
FXTM Which software do you use in the research, risk and reconciliation functions?
AL For research we use a variety of tools. First level statistical analysis
and data visualization/
charts is done via Microsoft Excel. For more complex and rigorous econometric analysis we use EViews and Matlab. We also make extensive use of dealers’ online
software and platforms,
particularly for options analytics and back-testing. Bloomberg and Haver Analytics are the main source of databases and news feeds. Risk analysis with the research process is carried out using the software mentioned above. Separately,
the Risk Department
uses RiskMetrics to carry out their separate and independent assessment of risk exposures.
FXTM 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?
AL Given the deep liquidity of foreign
FXTM Can you give us your feeling about the move of the EurUsd in the next 6/12 months?
AL I believe we are in the early stages of a medium term US dollar bull market, which will play out against a large number of currencies. Currently the Euro is supported by an ongoing removal of tail risk and tight monetary
exchange and our investment/ trading style, I do not see AUM limits for what we do. That said, we have small and diversified positions in some frontier markets which would incur larger transaction costs at much larger AUM levels. But we are nowhere close to this being a subject worth exploring.
FXTM What
is
AL Passion
the biggest your team? for what we do, and
striving for excellence in how we do it. Those are the main driving forces. As per our team structure, I believe a high degree of separation and specialization in skill sets and competencies, all brought together by a collaborative approach (more details discussed in question 6).
FXTM What’s the best advice you would give to traders who want to enter the FX fund management industry?
AL To
have a flexible and open-
minded investment process, with the predisposition to rotate into and out of different
investment
styles, such as systematic vs. discretionary, fundamental vs. technical, momentum vs. mean reversion, carry vs. value, etc. More than other asset classes, currency markets are very regime- dependent; they tend behave according to different “regimes” through time, often lasting several years. Flexibility and adaptability to multiple investment styles is a key ingredient to long-term success in currency markets.
strength of
FX
policy, while the US dollar is held back by the Fed quantitative easing policy. I doubt the Fed will begin its exit strategy this year, which should allow the Euro to remain supported, say in a range between 1.25 and 1.37 over the next 6 months. After that, going into 2014, I believe more stars will be clearly aligned for sustained US dollar outperformance, with a good chance the Euro to break 1.20.
FX TRADER MAGAZINE July - September 2013
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