Quay Capital Management

Quay Forex Futures Program

Year-to-Date
N/A
Minimum Investment
0
Management Fee 0.00%
Performance Fee 0.00%
Annualized Volatility 6.48%
Sharpe (RFR=1%) -0.39
CAROR -1.72%
Assets 2,000,000
Worst Drawdown -15.32
S&P Correlation -0.13

Summary

-Trading Strategy The Quay Forex Program is a short-term systematic trading model, which exploits the intra-day movements between the US Dollar and the Swiss Franc, Japanese Yen, Sterling and the Euro. The model assesses each currency pair on the European market opening at approximately 6am GMT. It then forecasts the initial price direction for that day. Each position is controlled with a stop loss and a partial profit target. Any further gains in a position are held to the market close or the following days opening. Trailing stops are also employed to enhance the risk profile. The model updates continuously throughout the day and signals are generated and adjusted in each currency pair almost hourly. The strategy also adjusts its methodology slightly throughout the day to account for different features of markets in time zones. Approximately 90% of positions are exited the same day as they are initiated. This means that investors have minimal overnight exposure to markets and as a consequence risk is minimised and controlled. The average risk per trade is 0.2%.