OCAM (Optimal Currency Allocation Model) trading philosophy is supported by market expertise and knowledge acquired over a 25-year period. OCAM aims to incorporate the changing dynamic features of the foreign exchange markets into a forecasting model which output are ported into a risk budgeting framework with a view of delivering statistically significant risk adjusted returns. The below shows the simulated returns delivered by the model. Those returns are truly out of sample from July 2012 onward and should be read in conjunction with disclosure shown at the bottom of this page.
The investment process relies on a multi-factor model with preference function
driven by changes in risk regimes and the level of output similarities of the
drivers.
Though the model can adapt quickly to new market conditions It is mostly a low
frequency strategy.
Each of its three components bear little correlation as they have a good
representation of Convex and Concave Strategies.
In a risk neutral environment each component are allocated one third of the risk
budget but they have a propensity to vary significantly from their neutral
allocation weight. Hence taking a bias to the driver deemed the most
appropriate for a given market environment.
Great emphasis is put on risk budgeting and portfolio re-balancing.
For further information on the above and its performance please contact me.
Main Features of the Model
Fig. 1: Model Architecture
Disclosure
This website does not constitute an offer to sell, or a solicitation of an offer to buy or sell, any commodities interests, managed futures accounts or securities, and is intended for informational purposes only.I do not make any representations as to the accuracy or completeness of any data or information contained herein and such information should not be relied upon as such. Alternative investments products, including hedge funds and managed futures, involve a high degree of risk and can be volatile. An investor could lose all or a substantial amount of his or her investment. Past performance is not indicative of futures results.
This website does not constitute an offer to sell, or a solicitation of an offer to buy or sell, any commodities interests, managed futures accounts or securities, and is intended for informational purposes only.I do not make any representations as to the accuracy or completeness of any data or information contained herein and such information should not be relied upon as such. Alternative investments products, including hedge funds and managed futures, involve a high degree of risk and can be volatile. An investor could lose all or a substantial amount of his or her investment. Past performance is not indicative of futures results.
Contact Email: Pierre@lequeux.org