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Quant Trading, LLC 

FX Index Arb - 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:Sep 1, 2012
AUM:$30,000
QEP:Yes
Incentive Fee:20%
Annual Mgt Fee:0%
Min Investment:$100,000
Disclosure Doc:View
Performance Program S&P 500
Total ROR:20.17%78.32%
Annual ROR:3.68%12.05%
YTD:-1.25%12.03%
1 Year:-1.83%15.68%
Alpha:
Beta:
Statistics Program S&P 500
Average Monthly Gain:0.93%2.42%
Average Monthly Loss:-0.72%-2.05%
Winning Months:3841
Losing Months:2319
Current DD:2.850.00
Max DD:3.048.89
Sharpe Ratio (RF 1%):0.73
Annualized Std Dev:3.65

Methodology

Discretionary:0%
Systematic:100%

Strategy

StrategySingle Strategy
DirectionalLong / Short
Holding PeriodShort Term
---------------------------
Arbitrage:50%
Technical Analysis:50%

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20170.980.66-0.21-1.611.19-0.18-2.12-0.110.19-1.25
20161.301.760.91-0.181.09-0.28-0.270.070.25-1.761.080.124.12
20151.403.190.760.51-0.55-0.341.820.511.710.01-1.38-0.207.61
20141.790.83-0.050.500.10-0.740.01-0.44-0.692.270.84-1.952.42
20130.231.84-0.561.27-1.350.191.310.880.581.39-0.91-0.454.45
20120.700.600.45-0.231.53

PAST PERFORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

FX INDEX ARB is a systematic, quantitative trading program, which trades currencies in the cash markets. The strategy creates a complex portfolio of 10 global (G10) currencies and adjusts its components daily. The strategy forms indexes of the 10 base currencies, which depend on the prices of the remaining 9 currencies against the index currency. It trades (counter trend, short volatility) the components of each index against the index itself (trend following, long volatility). Exactly the same rules are used for the trend and counter trend trading. The objective is to exploit the difference between the higher volatility in individual components and the lower volatility of indexes (as proven by the Modern Portfolio Theory). Based on positions of components and indexes (a total of 90 currency crosses), positions are then consolidated into the base 10 currencies, i.e. 9 currency pairs 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 (trend and counter trend trading in indexes and their components); second is portfolio concentration control through position size adjustment according to account size, volatility and risk-reward analysis (the position size limit for each currency is around 0.8 of NAV); and third is a catastrophic stop based on money management rules (can be selected by the investor). Monthly returns are based on proforma adjustments to a proprietary account to reflect fees.

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.