FxVolResearch Ltd, in partnership with Integrated Managed Futures Corp (IMFC is based in Toronto) can provide managed accounts for investors based on blend of both a systematic & discretionary trading approach. IMFC runs a 100% systematic Global Managed Futures program that is available both on a stand-alone basis and as part of a multi-strategy program in partnership with the FxVol program. If you or your firm would like to receive regular updates on the performance of these funds please register (in full) at the box provided on our homepage.
Short volatility-based strategies historically are negatively correlated to CTA-type trend following programs because they tend do well from a currency remaining range-bound. Similarly, the returns derived from the dynamic hedging of undervalued gamma-type options can be realized from currency pairs that exhibit rising actual volatility but no clear directional trend. These two strategies on their own offer excellent diversification effects to a more traditional trend following program.
FxVolResearch also has identified mean reversion trades that seek to identify currencies that are likely to break out of a range. These returns tend to be positively correlated to trend following programs but have less initial risk because on initiation they have a non-directional bias.
FxVolResearch employs all of these approaches in a diversified portfolio of styles that enhances the returns from traditional trend-following programs. All of these styles can be employed using options that have limited loss characteristics. The OTC market for these products is fully transparent and price discovery is simple. For more information about these programs please contact us directly at firstname.lastname@example.org. Our latest research on systematic FX Volatility Trading can be found here.