Competitive
Our simulated returns beat the available Macro-FX benchmarks by a significant margin.
Performance Focused
Our research and modelling serves one single aim, identify the best FX investment opportunities for our clients.
Realistic Simulations
Trade Ideas and the Systematic Reference Portfolio are tracked in a risk budgeting framework that simulates the constraints faced by our clients. Estimated transaction cost is calibrated for a hypothetical AUM of institutional size.
Clients
Our institutional client base includes hedge funds, asset managers and large family offices.
Human versus Algo
The two portfolios we care most about are the discretionary Trade Ideas and the Active Systematic Reference Portfolio. One simulates the style of a directional FX trader, the other is entirely based on systematic strategies. It is surprising how different the performance profiles are – even though we control both. The charts show cumulative returns from inception.
What we do
Macro-Economic Analysis
Our thinking revolves around global macro-economic trends and regime shifts. We publish “FX and Macro Views” and more focused or technical “Deep Dives”. New discretionary Trade Ideas, or changes in the Systematic Reference Portfolio are introduced via a “Trade Update”.
We publish only when we have a view. If our analysis is wrong our performance will reflect this. And then we fix it – at least we try.
Systematic Strategies and Portfolios
Most systematic strategies in our database have been running out-of-sample since at least 2016. And the best ones for the prevailing regime are selected for our actively managed Systematic Macro Portfolio (SYMAP). Published detail goes down to the level of code snippets. Every published portfolio is updated overnight with the latest execution tables, also accessible via the API.
Bespoke Projects
We develop bespoke strategies and portfolios for “ALPHA” subscribers. Bespoke strategies can only be accessed by their owners. Access rights are enforced at API level as well. Subject to available capacity, we help our clients with custom research projects.