In seeking to achieve positive absolute returns, The Portfolio Management Team makes currency exposure allocations based on quantitative and qualitative analysis in the context of strategic and tactical considerations. Systematic trading signals are derived from these analyses and may be aggregated using market regime analysis.
Strategic versus Tactical. The Adviser considers factors that lead to gradual allocation changes over months as “strategic.” In contrast, the Adviser considers factors that lead to allocation changes over shorter periods as “tactical.”
Quantitative Analysis. The Adviser may consider quantitative factors to determine portfolio allocations. Quantitative factors that the Adviser may consider include fundamental and statistical technical analysis of currency, financial markets and economic data. Fundamental considerations may include a country’s gross domestic product or the central bank’s benchmark interest rate. Technical considerations may include the relative performance of currencies over time. Statistical analysis may include the use of probability theory and mathematical optimizations. Additionally, the Adviser may utilize statistical methods to manage overall portfolio risk.
Qualitative Analysis. Qualitative factors that the Adviser may consider include an analysis of monetary policies pursued by central banks and economic environments; a country’s perceived political stability; the risk of government intervention in its financial markets; and proprietary analysis on the outlook of a country’s currency. Additionally, the Adviser may utilize qualitative and quantitative analysis to manage overall portfolio risk.
Market Regime Analysis. The Adviser uses a proprietary statistical framework to identity dynamics in market regimes that are defined by risk characteristics. Market Regime analysis and statistical analysis are utilized to provide a probabilistic system that governs the process of aggregating trading signals received from quantitative and qualitative analysis.
Effective 06/30/12, risk sentiment & macro models were added to the fund. See below for outlined details.
- Macro overlay enhancements
- Integration of MERKX investment process
- Active management
- Risk overlay enhancements
- Holistic approach
- Independent volatility strategy