FX MANAGERS
fitting and confirms robustness of the model?
GO We are 100% discretionary in our decision making process, so we are less exposed to the risk of curve fitting than, say, a systematic manager.
FXTM Do you favor any particular time frame in your strategies? What is your average trade duration and trading frequency
GO I personally like to look at more medium/longer term trades as that suits my personality much more than being an intra-day trader. As for SHARPE+SIGNA as a whole, our average trade lasts about 2 days.
FXTM What should an inexperienced trader watch when choosing a time frame?
GO I think that, more than anything, they should look at themselves in the mirror and identify their true strengths and weaknesses. That is essentially what I did. I
realized
that I could not be a trader that operates on an intra-day basis because of my personality and style. The temptation to trade is always
FXTM How many execution brokers do you use? How do you split execution between electronic and voice?
there, and I will make suggestions on a daily basis to our team. However, I remain truthful to my medium/ long term characteristics. This works well for us because the mix of personal styles that distinguishes our team leads to a balanced blend.
FXTM What is the average leverage that you normally use? And the maximum leverage?
GO We actually don’t use leverage and de-lever when taking on individual positions as the average ticket size for us is $2mio per $10mio in AUM. In our view, we are de-leveraged on an individual position basis. The maximum aggregate leverage allowable to us is 1.5x, or essentially maximum of $15mio in aggregate positions per $10mio in AUM. On average, we are running anywhere between $5-$8mio per $10mio in AUM. Positions cannot be more than 50% biased towards any particular side, i.e. short/long USD or EUR or any other currency. We are very conservative and we try to be as precise as possible when it comes to choosing our trades.
FX
GO We currently have a couple of execution brokers but we are considering reducing them to just one. This will simplify the trading process and thus reduce ‘operational risk’. We operate on a managed accounts basis only, and concentrating on one single executing
broker produces a
more linear process when making sure that all accounts have been properly traded and all stops are in place.
FXTM Which opportunities and risks do you see in ultra-high frequency trading for FX managers ?
GO Given that Ultra HFT strategies are a completely different universe from what we’re doing here at SHARPE+SIGNA, mine is the opinion of an observer. I personally see more risks than opportunities; some of the risk clearly lies with the actual banks and liquidity providers rather than the managers themselves. These trades are put on and taken off quicker than you and I can blink! So given the speed, the LP’s may be stuck in a situation where lack of liquidity becomes an issue. Think about a major event, for example. Also, HFTs trade according
FX TRADER MAGAZINE January - March 2014 67
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