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.
September was a difficult month for many investors. The FX market flipped from being dollar offered to bid, bond markets went from bid to offered, and equities—despite higher rates and much uncertainty—held bid across most developed markets. Oil rallied and gold fell, while corn rose and copper fell. The hurricanes and earthquakes in September mixed poorly with politics and policy. The FOMC clearly signaled a December hike and followed through on previous signals by cutting their balance sheet, setting in motion a process to whittle back talk of debt monetization. View Investment Letter
It is a common practice for students returning to school after the summer to be assigned an essay describing how they spent their summer break and what they learned. The same exercise should be given to managers now that a long August has left many wondering what happened to time and to the markets. Bond and equity returns were lower than July expectations, as the momentum trade of selling bonds or buying equities died. The focus on geopolitical fears rose thanks to the aggressive posturing of US President Trump and North Korea. However, politics in the US became less scary in the wake of Hurricane Harvey as the US came together to take care of Houston. Despite these factors, markets did move, albeit unevenly across asset classes. This was most dramatic in commodities and to a lesser degree in the FX markets. View Investment Letter
July brought about a rebound in risk parity strategies. Despite rate hikes by the Bank of Canada and data that continues to suggest the time is past due for Europe to taper its quantitative easing, there has been some moderation of fears about the ECB and other central banks rushing to normalize rates. Bond selling that started in earnest at the end of the second quarter has stalled due to slower growth, while equities have rallied to new record highs—Q2 earnings are part of that story, along with reduced policy fears. The FOMC is widely thought to be shifting to a modest balance sheet run-down in September without a rate hike, with less than a 50% chance for a December hike, linking to inflation data. View Investment Letter