Summary

-The QPS Trading Fund invests in liquid futures on currency, bonds, commodities, interest rates and volatility. The Fund follows two trading programmes designed by Blue Sky Orange: the Quantitative Premium Select programme and the Quantitative Premium Collect programme.The Premium Select programme is equally weighted between the three underlying programmes ? Currency Select, Bond Select and Commodity Select. The Select programmes are focussed on relative value positions, taking long positions in the assets that have high expected risk premiums and short positions in assets with low expected risk premiums. We explicitly do not try to forecast general market direction via the use of short positions: the overall exposure is always net long for the traded markets (currencies, bonds, commodities).The Premium Collect programme is added to the Premium Select programme and takes fixed positions in interest rate futures and volatility futures to passively capture the risk premiums offered in these markets. Both positions offer an attractive risk premium in the long term and in times of crises move in opposite directions so short term risk is muted. Once again, due to the low correlation these additional positions add to the return without increasing the risk.