FX MANAGERS
FXTM How many execution brokers do you use? How do you split execution between electronic and voice ?
RG We currently deal with about 15 different banks. We feel a large number of bank relationships is critical when dealing in the EM markets to build a scalable firm that can handle a lot of AUM.
FXTM Which historical data do you use when developing your strategies? How important is that ?
RG We acquire data from a variety of sources, and we devote considerable attention to cleaning data before model R&D begins. Bad data leads to bad conclusions when running simulations, and it is a mistake that is completely avoidable if you spend the time to manually clean and verify data. Even on the production side, no price hits the model without being visually verified by a human being.
FXTM Which software do you use for research and risk management ?
RG All of our systems are
built in-house. Risk estimation is a
form of systematic forecasting – we consider our research and risk management software to be superior to “off the shelf ” solutions.
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?
RG We have firsthand experience on what kind of volume you can put through EM currencies, and we are nowhere near AUM levels that would create liquidity problems.
FXTM What is the biggest strength of your team?
RG The biggest strength of our team is our combination of experiences – our blend
quantitative, and discretionary experiences on the investment process side, and our combination of management roles on the business side.
FXTM Can you give us your feeling about the move of the EurUsd in the next 6/12 months?
RG We do not have a strong opinion
FX
on whether the EUR/USD wil l go up or down in the next 6-12 months, but we note that EUR/ USD 1 year implied volatil ity, currently 7.5%, is close to al l- time lows. The only other time it was below 8% was in 2007. Similar to 2007, we think there is asymmetr ic ri sk in the future direction of volatil ity, not just in EUR/USD, but in all financial markets .
FXTM What’s the best advice you would give to traders who want to enter the FX fund management industr y ?
RG Constantly innovate and adjust your approach. Consider that FX has not been “solved” like
other markets - there is of academic,
no agreed-upon benchmark, and the big names are not very correlated to each other. And yet, the FX markets have existed more or less in their current form since the end of the Bretton Woods Accord in 1973. The logical conclusion is
that there is no single best
way to trade FX, and a trader must be dilig ent in constantly revising and updating their approach, stay on top of current research, and maintain a connection to the market to foster intuition about what lies ahead.
FX TRADER MAGAZINE April - June 2014 75
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