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Quant Trading, LLC 

FX Basket Quant - Currency Trading Program

Manager: Dejan Trajkovski

Address: Partizanska bb, Bitola, 7000, Macedonia

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:Forex
Inception Date:Feb 1, 2013
AUM:$25,000
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:0%
Min Investment:$100,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:15.58%76.17%
Annual ROR:3.04%12.43%
YTD:2.33%15.81%
1 Year:4.95%17.88%
Alpha:0.04
Beta:0.22
Statistics Program S&P 500
Average Monthly Gain:1.54%2.36%
Average Monthly Loss:-1.19%-1.96%
Winning Months:3140
Losing Months:2718
Current DD:1.570.32
Max DD:8.548.89
Sharpe Ratio (RF 1%):0.30
Annualized Std Dev:6.75

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodShort Term
---------------------------
Quantitative:100%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
2017-3.54-1.473.534.140.490.58-1.52-1.843.84-1.08-0.502.33
20162.701.250.630.260.83-0.73-1.510.52-2.29-4.764.782.563.97
2015-1.282.660.110.57-0.31-1.340.87-3.22-0.116.20-0.01-0.023.90
20140.541.161.040.19-0.34-0.60-0.120.59-0.251.080.31-1.601.98
20131.550.100.38-0.84-0.590.87-0.332.990.39-0.82-1.122.54

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

FX BASKET QUANT (FXBQ) is a systematic, quantitative trading program, which trades currencies in the cash ("spot") markets. The strategy creates a complex portfolio of 10 global (G10) currencies and adjusts its components daily.

The strategy exploits the asymmetry of percentage increases and decreases of price returns. For example, if the NZDCHF price return is positive, the CHFNZD return will be negative, but the sum of these two returns will always be positive, although denominated in different currencies. The strategy trades all currency crosses between 9 base currencies, accumulates returns in base currencies and periodically converts them into USD. Based on positions of all components (a total of 72 currency crosses), positions are consolidated into the base 9 currencies against the US Dollar. The resulting positions are then implemented in the market. The trading strategy is always in the market, but portfolio weights are adjusted daily.

Risk control is achieved through a variety of means which in most market conditions should minimize drawdowns. The first is portfolio construction and diversification; second is portfolio concentration control through position size limitation according to account size (the position size limit for each currency is currently 100% of NAV); and third is a catastrophic stop based on money management rules (can be selected by the investor).

Company Info

Quant Trading LLC is a limited liability company engaged in the quantitative trading research and management of client and proprietary assets. Quant Trading LLC manages assets across currency, equity and commodity asset classes and related derivative instruments in the global markets for an international clientele. The investment strategies of Quant Trading LLC include quantitative currency trading (managed Forex), quantitative equity long/short and volatility trading.

Manager Info

The trading methodology used by Quant Trading, LLC is based on a fully computerized trading system developed by Dejan Trajkovski, Ph.D.

Dejan received his M.S. degree in Applied Mechanics of Deformable Bodies and Ph.D. in Computational Mechanics from University of Belgrade, Yugoslavia (1992) and University of Skopje, Macedonia (1995). His score on the Engineering GRE exam was 890 points (99% below, i.e. in the top one percentile). Throughout his successful career as a professor at University of Bitola, Macedonia, Dejan Trajkovski gained significant experience in the fields of Theoretical and Applied Mechanics, Theory of Mechanisms and Machines, Mechatronics and Robotics.

Dejan Trajkovski was employed at the Faculty of Technical Sciences - Bitola (Ivo Ribar Lola b.b., 7000 Bitola, Macedonia) as Assistant professor (1995-2000), Associate Professor (2000-2005) and Professor (2005 to present).

Moving into the business of developing systematic trading models was a natural fit for Dejan, who says he always had a strong interest in mathematics, engineering and computers and has a formal education background in computational mechanics. Dejan applied both his real world experience and technical background in what became almost a decade long research project into systematic trading of the financial markets.

The foreign exchange (Forex) market became his field of work in 2001. Dejan was confident that finance was wonderfully pure information-processing business and Forex was the right place where the mathematically precise instruments of quantitative analysis could be applied. In the following years he has been involved in research, development and implementation of trading strategies. Quant Trading, LLC currently trades FX Quant 11, FX Index Arb, FX Basket Quant and FXC, his quantitative currency trading programs.

Dejan passed the FINRA Series 3 (National Commodities Futures Examination) licensing exam, with a 93% score.