Lehman launches quant forex strategies platform

Lehman Brothers has become the latest bank to offer clients access to various algorithmic foreign exchange trading strategies through its new Macro Quantitative Currency Strategies Platform (MarQCuS).

MarQCuS is intended to give clients not ordinarily capable of using algorithmic forex trading exposure to six different trading strategies, or a customised combination of their choice. Exposure to them is available in US dollars or euros, and via products from total return swaps to principal-protected notes.

Jim McCormick, the bank’s London-based global head of foreign exchange research, said the platform’s biggest advantage was the diversity of strategies it covered.“MarQCuS tries to cover as many of the bases between pure carry- and pure fundamentals-based strategies as possible,” he said.

Strategies available via MarQCuS range from one that simply targets G-10 carry trades to others that play on the responsiveness of global currencies to movements in other factors such as equities, commodities and interest rates.

According to Lehman Brothers, diversified exposure to all six strategies would have reaped an average annual return of 6.05% above Libor or Euribor from January 1997 to the present, with an annual standard deviation of 2.05%.

A raft of similar forex offerings have been marketed by banks during the past year, tapping investor demand for perceivably uncorrelated assets. Since January 1997, Lehman claimed the six MarQCuS strategies combined have had a -2% correlation with equities, a 1% correlation with two-year US dollar swaps and a -9% correlation with credit spreads.

Previously on Risk News:
BarCap launches “new currency” for financing
Subprime woes infect forex
Subprime crisis causes carry trade unwinds
Foreign exchange - Algos a-go-go
CFXOs - Collateral concerns