Apparently it has taken six years to develop – and perhaps five minutes to come up with the name – so it’s no surprise that Jim McCormick, global head of foreign exchange research at Lehman Brothers, is pleased with the bank’s latest offering. Called MarQCus, which I guess is less of a mouthful than Macro Quantitative Currency Strategies platform, the service lets investors directly access Lehman’s quantitative strategies models. MarQCus is available via LehmanLive, Bloomberg and Reuters. Clients can select a portfolio using all six of Lehman’s systematic strategies in an equal weighting or they can create customized portfolios.
“MarQCus is a unique offering compared to the others we’ve seen in the market,” says McCormick. “The increase around these products has been centred on two basic systems, which are either carry or technically based. The problem with these is that momentum strategies haven’t worked too well, and carry, which we’re not against, is contingent on [benign] market conditions. We saw what can happen when these turn in July and August,” he adds.
McCormick says that MarQCus considers various parameters across assets and that backward testing to January 1997 shows it has delivered significant returns of 6.05%