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Quant Trading, LLC 

FX Quant 11 - Currency Trading Program

Manager: Dejan Trajkovski

Address: Partizanska bb, Bitola, 7000, Macedonia

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Overview

Program Type:Forex
Inception Date:Nov 1, 2008
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:34.36%149.36%
Annual ROR:3.47%11.12%
YTD:0.26%7.90%
1 Year:-0.35%15.09%
Alpha:
Beta:
Statistics Program S&P 500
Average Monthly Gain:1.16%1248.57%
Average Monthly Loss:-0.83%-2.60%
Winning Months:5971
Losing Months:4532
Current DD:1.000.00
Max DD:6.3418.62
Sharpe Ratio (RF 1%):0.42
Annualized Std Dev:5.86

Methodology

Discretionary:0%
Systematic:100%

Strategy

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

Monthly Returns as Percentage by Year

JanFebMarAprMayJunJul AugSepOctNovDecYTD
20171.040.23-0.71-1.401.19-0.070.26
20160.971.901.13-0.020.430.590.35-0.040.09-1.480.220.274.46
20151.191.171.060.55-0.85-1.192.260.391.37-1.760.79-0.244.76
20141.650.770.140.350.15-1.00-0.07-0.34-0.511.740.44-1.122.18
20130.061.56-0.170.87-0.580.630.831.20-0.051.28-0.60-0.774.31
2012-1.04-0.150.230.10-0.030.41-0.22-0.16-0.580.11-0.45-0.18-1.95
20110.640.67-0.310.700.350.87-0.86-5.531.981.05-0.090.53-0.20
2010-0.16-2.05-1.05-0.350.73-0.971.370.23-0.991.22-0.02-0.62-2.68
20098.003.42-0.142.75-1.181.691.11-0.18-1.891.010.980.6117.03
20088.91-5.333.11

PAST PERMORMANCE IS NOT INDICATIVE OF FUTURE RETURNS.

Program Info

FX Quant 11 is a quantitative trading program based on time series analysis, statistical arbitrage and position size management. Through these methods, it trades currencies of developed countries (EUR, GBP, CHF, CAD, JPY, AUD, NZD, SEK, DKK, NOK and SGD) in the spot markets and does not trade futures or options on futures on any organized exchange. This program analyses exchange rates between the currencies comprising the basket. The strategy identifies relatively strong and weak currencies and gives specific trading signals for each currency, which are then implemented against the 10 remaining currencies. The resulting positions are then implemented in the market. It uses statistical methodology and not classical fundamental or technical analysis. There are no classical indicators which attempt to predict market direction (no one can predict market direction!), no pattern recognition techniques and no trading rules based on trader's experience. The trading system is always in the market, but portfolio components are adjusted daily. Leverage is applied in line with client's preferred risk tolerance level. 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 controlling leverage through position sizing adjusted according to account size, volatility and risk-reward analysis; and third is stops based on money management rules.

Rates of returns are calculated from trading in managed accounts as well as proprietary accounts. Returns from proprietary trading are based on proforma adjustments to a proprietary account to reflect fees.

The information about this trading program is not intended for persons or entities resident, located or registered in jurisdictions that restrict the distribution of such trading programs.
Consequently, this information does not constitute, and may not be used for the purposes of, an offer or invitation to invest in this trading program to any person in any jurisdiction (explicitly USA): (a) in which any such offer or invitation is not authorised; (b) in which Quant Trading, LLC is not qualified to make such offer or invitation; or (c) on which it is unlawful to make any such offer or invitation.

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.