search

satrapade / qcr_review

review of the qcr FX strategy
0 stars 0 forks source link

JC's email #1

Open nassuphis opened 6 years ago

nassuphis commented 6 years ago

Hi Nick,

As part of the preparatory work for our upcoming QCR meeting later this month, we wanted to send you some detailed information on the QCR motivation, justification, principles and process.

As a starting point, please find attached the following documents:

  1. Overview – QuantitativeCurrencyForReturn.docx (summary document that goes into significant detail)
  2. Overview – QuantitativeCurrencyForReturn.pptx (accompanying slide set for item #1)
  3. Portfolio Construction – Work down that supports the cross sectional portfolio construction we employ – CrossSectionalRiskAllocationReview.docx
  4. Trading Costs – We have built a daily variable trading costs model that is incorporated into the latest version of our QCR simulator – InsightDailyTradingCostModel.docx

We have additional documents on the underlying factors depending on the level of detail you want to explore. As an example of this I also attach 2 documents relating to the “momentum signal” in QCR.

  1. Momentum – General comparison of competing approaches – MomentumStrategies.pdf
  2. Momentum – Review of the major/minor split (G3 vs G10 minus G3) – QCR_TechnicalReview.docx

The QCR approach is to “bucket” risk premia according to qualitative/fundamental similarities. As we stand today this breakdown is as follows:

Value Bucket Long term value signal Short term value signal Carry Bucket Carry level signal Momentum Bucket Momentum signal Carry momentum signal Volatility Bucket Volatility signal

Please let us know your thoughts as to the level of detail and if you would like additional information. Happy to participate in as many calls as people think we need prior to the meeting with Abdallah.

Best Regards

James Coleman Deputy Head of Research, Currency Solutions Insight Investment, Level 2, 1-7 Bligh Street, Sydney NSW 2000 +61 2 9260 6653, www.insightinvestment.com/australia/

nassuphis commented 6 years ago

QCR_TechnicalSignalReview.docx

nassuphis commented 6 years ago

CrossSectionalRiskAllocationReview.docx

nassuphis commented 6 years ago

Momentum Strategies.pdf

nassuphis commented 6 years ago

QuantitativeCurrencyForReturn.docx