CCTRACK’S METHODS AND STRATEGIES
We are a global provider of FX asset management solutions using quantitative strategies and an array of unique system-based applications to generate absolute returns in areas including risk parity, alpha models and FX overlay. Our multi-strategy hedge fund targets global financial institutions in North America, Europe and the Asian markets.
FX Overlay is a hedging strategy to partially or fully manage foreign exchange exposure. FX Overlay can be passive with the sole objective of reducing cash flow volatility, or it can be more active with the goal of maximizing yield and or momentum forecasts. Overlay is used by investors and corporate hedgers in a variety of ways. CCTrack provides advisory and execution services for our clients.
ParityTrack is a strategy designed to provide high risk-adjusted returns using extremely liquid and actively-traded products. It is comprised of global equity index futures, global fixed income futures, commodity futures, and foreign exchange. The use of FX as an asset class serves to provide further diversification among asset classes utilized.
CTATrack is a strategy designed to provide high risk-adjusted returns using Foreign Exchange spot, forwards, and non-deliverable forwards as well as non-FX futures contracts. The strategy mixes momentum, mean reversion, and correlation to other markets across varied time periods to generate an uncorrelated portfolio. We use active G30 FX and liquid futures and have varied holding periods from minutes to months.
SkewTrack is a strategy that uses a relative value approach to enter into a long volatility biased options portfolio. It currently uses the OTC foreign exchange market to find opportunities using extremely liquid and actively-traded products. SkewTrack has a low correlation to equities and other global indices, while still providing investors with returns during lower volatility regimes.
March came in like a lion and left like one as well. Lambs were hard to find and we enter April with trepidation—there is no Spring in our step. Weathering the ugly swings in prices last month proved difficult, with the oddity of volatility ending the month lower, even with price movements devoid of clear trends and correlations broken down across asset classes. Confidence in markets is nowhere to be found and alternatives to speculative investment (i.e. gold and cash) outperformed again. The most interesting point about March and the first quarter in general was that the curve for equity options flipped to backwardation—this can happen when markets fear the present more than the future, a situation that best describes March. View Investment Letter
The February market movements were a sea change to the trading environment that held for over eighteen months. The euphoria of January, arguably driven by FOMO (fear-of-missing-out), transformed abruptly into something entirely different. We no longer live in a low yield, low volatility world. There is currently no moniker for the present regime—an increase in volatility across all asset classes accompanied by a significant correction in most trends—but let’s go with FTP (follow-the-tape) for now. What should be most troubling to portfolio managers and investors is the correlated loss across asset classes for the month—the best performers were Cash and the USD. View Investment Letter
We may all do well to breathe, stop fretting about complacency, and concentrate more on inconsistencies. Markets go from overbought to oversold all the time. We should stop shouting about how good or bad they have been and think harder about what doesn’t make any sense. Central bank policy seems to be at the center of fear. Many are talking about global growth recovery negating the need for easy money. Further, many see the end of QE and negative rates as the end of the bull market in equities. Central banks now use forward guidance as a policy tool, rendering any statement, any utterance so much more important. View Investment Letter