Trading signals are currently derived from 13 independent models*
Each model uses unique data elements to determine its trade signal, for example:
Relationships among specific currencies/equities/interest rates
Interest rate sensitivity of specific fixed income instruments
Multiple models focus on one market, unlike strategies where the same model is used on multiple markets
Very low correlations between sub-models
Each model is backed by extensive research & development in an attempt to identify data that is predictive of Treasury price movements
100% quantitative for trading signal generation
We believe the math is elegant but not complex
* The numbers of models can change over time
Simple example of the interaction between models and the long/short decision making process
Data-driven, multi-model decision
Each sub-model is derived from a unique data set
Attempts to identify models that are robust with long-term sustainability
Short Models 1-5
Long Models 6-13
Models | 1 | 2 | 3 | 4 | 5 | 6 | 7 | 8 | 9 | 10 | 11 | 12 | 13 |
1 | 1.0 | ||||||||||||
2 | .071 | 1.0 | |||||||||||
3 | .157 | .04 | 1.0 | ||||||||||
4 | -.025 | -.03 | .038 | 1.0 | |||||||||
5 | -.014 | .088 | .155 | -07.9 | 1.0 | ||||||||
6 | .013 | .077 | .033 | .039 | .017 | 1.0 | |||||||
7 | .097 | .075 | .039 | -.069 | .090 | -.066 | 1.0 | ||||||
8 | .038 | .010 | .015 | .027 | -.001 | 0.74 | -.026 | 1.0 | |||||
9 | .016 | .024 | -.002 | .023 | .011 | .018 | 0.0 | -.004 | 1.0 | ||||
10 | -.003 | .019 | .030 | .008 | .041 | .055 | -.074 | .173 | .013 | 1.0 | |||
11 | .144 | .067 | .137 | .037 | .072 | -.025 | .003 | .034 | .015 | .024 | 1.0 | ||
12 | -.051 | .039 | .008 | .036 | .076 | -.008 | .007 | -.066 | -.0008 | -.043 | -.042 | 1.0 | |
13 | .081 | .048 | .126 | .12 | .251 | .008 | .021 | .184 | .0007 | .037 | .289 | -.114 | 1.0 |
10/19/2011 through 06/30/2017 (most recent data available)