FX FX MANAGERS
RG We are registered with the SEC and CFTC, and we are members of the NFA.
FXTM You are in charge of the currency program. How do you describe your investment strateg y?
RG S y s t e ma ti c diversified. We trade as many currencies as feasible given our capacity (30 at present), and we employ a substantial library
of
mo dels spanning trend f o l l o w ing , carry, relative v
a l ue,
e q u il ib r iu m exchange rate, and pattern r e c o g n it io n . We use multivariate statistical analysis
to create a superset of
trading opportunities relative to classical approaches.
FXTM How did you create and develop your current FX management strateg y? Has it changed over time, and if yes, for what reasons did you decide to change it?
72 FX TRADER MAGAZINE April - June 2014 RG
When we launched in 2010, our core competencies on the systematic side were trend and carry. We were prepared for both a resumption of the Great Moderation, and a second financial meltdown. But we got neither…instead we got muddled and inconsistent carry performance with declining
more environments.
FXTM What is the most important lesson you learnt from past trading decisions ?
RG When I first got started in trading, at times I would be sitting there fretting and stressing about some position I had on – should I hang on? Stop out ? Eric Nelson,
the
head trader at FX Concepts when
I
started, would say “why don’t you just cut the position – minimize your m a x i m u m regret.” That c o nc e pt inf o r m s e v e r y t h ing we do.
It
volatility and the abject failure of trend-following. We realized that our old bag of tricks was not sufficient, and we needed to think proactively about future market conditions and design systems to exploit all possible scenarios. We have not abandoned trend or carry, but they are now part of a much broader systematic portfolio designed to work in
is
a critical skill for traders to keep themselves out of stressful situations that can open the door to monumentally bad decisions, even if there is some small sacrifice of short-term expected return.
FXTM How do you manage risk in the company?
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