Strategy

MQS Management LLC’s strategy is markedly different from other global macro managers in that the model considers fundamental economic inputs without regard to any technical price patterns. As a result, we believe the return stream will likely have low correlation and be additive to an investor's risk adjusted returns.

 

There are three basic tenets to the strategy:

  • Preserve capital

  • Generate absolute returns with low correlation to market indices and other global macro managers

  • Improve the risk adjusted return of an investor’s portfolio (i.e. Sharpe Ratio, Sortino Ratio) 

 

The model has proven itself through multiple market cycles as its initial development dates back to Bob Gelfond’s tenure at D.E. Shaw (1989 – 1992) and Millennium Partners (1992 – 1998).  Starting initially with currencies, the model evolved over time to include short and long term interest rates, commodities, stock indices and interest rate swaps.

 

The model utilizes a proprietary forecasting algorithm which incorporates macro-economic statistics to calculate price forecasts for each market traded.  The model is designed to generate unusually accurate price targets for each instrument traded.  The model uses strictly fundamental inputs which encourage the algorithm to buy low and sell high based on an inherent fair value calculation for each market.

 

The strategy is not trend following and does not use technical, priced-based indicators.  The model is agnostic to carry trades and does not make big thematic bets.  The portfolio is constantly rebalanced and will typically have over 100 small trades per day in an effort to properly position itself based on real time fundamental information.  The model attempts to hedge out all systematic risk to create diversification through taking positions in many small truly independent relative value plays.

 

MQS Management LLC / T (212) 685-3600 / F (212) 685-3636 / © 2013 by MQS.