Mark: The models which drive the JB Quantitative Currency fund have formed a key part of our foreign exchange overlay strategy for funds such as the JB Absolute Return products for several years now. In 2008, we decided to launch the JB Quantitative Currency hedge fund as a stand alone product. It was launched in March 2008.
How does the fund compare to other quantitative/systematic funds?
Mark: We feel our fund is a little different to many of the other systematic FX funds currently out there. We have taken both of our years of experience in discretionary foreign exchange trading as well as input from other colleagues at Augustus to create several models which are driven by fundamental macro-economic and financial variables. The models systematize the way a discretionary trader might approach foreign exchange markets and as a result are very intuitive.
Unlike many systematic funds, we do not employ trend-following or ‘break-out’ models which are based on the price of the security being traded. The range of models we use also means we do not rely solely on one methodology or one trading timeframe.
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