AlgoMetrix Asset Management to launch new Algorithic FX fund

AlgoMetrix, a US based asset manager is launching a new automated Forex trading program, Alpha F6. The program is a

AlgoMetrix, a US based asset manager is launching a new automated Forex trading program, Alpha F6. The program is a conservative, low leveraged program focused on low volatility using a strict quantitative approach.

Pascal Guessas, who has more than 30 years in the futures industry, is the principal.

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AlgoMetrix Asset Management launched its first systematic program: “Diversified Alpha1 Futures only” in January 2011 and its second systematic program “Alpha FX6” will be launched early 2012.

As with the Diversified Alpha1 Futures Only program, Alpha F6 is leverages a strategy that seeks returns by being uncorrelated or negatively correlated to the CTA index, S&P 500 index, US government bond index and all major hedge fund indices. According to a presentation made by the company obtained by Opalesque, the Alpha F6 program is designed to spot fake breakouts without losing track of the broad market trend and exploit that edge.

The strategy is the result of 11 years of back testing market data to determine variations in market conditions that can lead to fake breakouts. The program is capped at $500m.

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