Tracking CTAs since 1994
CTA Profiles
Tracking CTAs since 1994
Principal(s): Dejan Trajkovski
Strategy: Interbank Trader
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FX INDEX ARB (FXIA) is a systematic, quantitative trading program, which trades currencies in the cash ("spot") markets. The strategy creates a complex portfolio of 10 global (G10) currencies and adjusts its components daily.
The strategy forms indexes of the 10 base currencies, which depend on the prices of the remaining 9 currencies against the selected index currency. It trades (counter trend, short volatility) the components of each index against the index itself (trend following, long volatility). Exactly the same rules are used for trend and counter trend trading. The point is to exploit the difference between the higher volatility of individual components and the lower volatility of indexes (as proven by the Modern Portfolio Theory).
Based on positions of all components and indexes (a total of 90 currency crosses), positions are consolidated into the base 10 currencies, i.e. 9 currency pairs against the US Dollar. The resulting positions are then implemented in the market. The trading strategy is always in the market, but portfolio weights are adjusted daily.
Risk control is achieved through a variety of means which in most market conditions should minimize drawdowns. The first is portfolio construction and diversification (trend and counter trend trading in indexes and their components); second is portfolio concentration control through position size adjustment according to account size, volatility and risk-reward analysis (the position size limit for each currency is 0.8 of NAV); and third is a catastrophic stop based on money management rules (can be selected by the investor).
The trading methodology is based on a fully computerized trading system developed by Dejan Trajkovski, Ph.D. Dejan received his M.S. degree in Applied Mechanics of Deformable Body and Ph.D. in Computational Mechanics from University of Belgrade, Yugoslavia (1992) and University of Skopje, Macedonia (1995). Throughout his successful career as a professor at University of Bitola, Macedonia, Dejan Trajkovski gained significant experience in the fields of Theoretical and Applied Mechanics, Mechatronics, Computerized Motion Control and Robotics. Dejan Trajkovski was employed at the Faculty of Technical Sciences in Bitola, Macedonia as Assistant professor (1995-2000), Associate Professor (2000-2005) and Professor (2005 to present). The foreign currency and equity market became his field of work in 2001. Dejan was confident that financial markets were the the right place where the mathematically precise instruments of quantitative analysis could be applied. In the following years he has been involved in research and development of trading systems, and his quantitative trading systems are currently used by Lyncestis LLP.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | ROR | Max DD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 0.49% | 0.07% | -3.95% | -3.41% | -3.95% | |||||||||
| 2024 | 0.69% | -0.03% | -1.10% | -0.09% | 0.10% | 0.68% | -1.76% | 1.26% | 0.11% | 0.99% | 0.91% | 0.42% | 2.15% | -2.21% |
| 2023 | 1.66% | 0.95% | 0.66% | -0.07% | 0.08% | 1.32% | -0.54% | 0.54% | -1.25% | 0.72% | 0.50% | -0.26% | 4.38% | -1.25% |
| 2022 | 0.46% | 1.25% | -0.31% | 0.02% | 1.00% | 1.04% | 1.01% | 1.18% | -1.99% | 2.89% | 0.39% | -0.03% | 7.05% | -1.99% |
| 2021 | 0.98% | 0.05% | -0.01% | 1.67% | 0.47% | 0.75% | 0.60% | 0.44% | -0.04% | -0.95% | -0.51% | 1.30% | 4.82% | -1.49% |
| 2020 | -0.98% | 0.39% | -11.09% | 0.61% | -0.17% | 0.23% | 0.55% | 0.27% | 0.08% | 1.23% | -0.02% | 1.54% | -7.74% | -11.62% |
| 2019 | 1.43% | 0.61% | 1.34% | 0.30% | -0.87% | 0.17% | -0.17% | -0.56% | 0.98% | 0.83% | 0.37% | -0.05% | 4.45% | -1.43% |
| 2018 | 0.53% | 0.26% | 0.12% | -1.22% | 0.30% | 0.96% | 0.93% | -0.97% | 0.49% | 0.93% | -2.63% | -0.64% | -0.99% | -3.25% |
| 2017 | 0.98% | 0.66% | -0.21% | -1.61% | 1.19% | -0.18% | -2.12% | -0.11% | 0.19% | 0.41% | 0.48% | 1.32% | 0.93% | -3.04% |
| 2016 | 1.30% | 1.76% | 0.91% | -0.18% | 1.09% | -0.28% | -0.27% | 0.07% | 0.25% | -1.76% | 1.08% | 0.12% | 4.1% | -1.99% |
| 2015 | 1.40% | 3.19% | 0.76% | 0.51% | -0.55% | -0.34% | 1.82% | 0.51% | 1.71% | 0.01% | -1.38% | -0.21% | 7.6% | -1.59% |
| 2014 | 1.79% | 0.83% | -0.05% | 0.50% | 0.10% | -0.74% | 0.01% | -0.44% | -0.69% | 2.27% | 0.84% | -1.95% | 2.42% | -1.95% |
| 2013 | 0.23% | 1.84% | -0.56% | 1.27% | -1.35% | 0.19% | 1.31% | 0.88% | 0.58% | 1.39% | -0.91% | -0.45% | 4.43% | -1.36% |
| 2012 | 0.70% | 0.60% | 0.45% | -0.23% | 1.53% | -0.23% | ||||||||
| Years | 2012 | 2013 | 2014 | 2015 | 2016 | 2017 |
|---|---|---|---|---|---|---|
| ROR | 1.53% | 4.43% | 2.42% | 7.60% | 4.10% | 0.93% |
| Max DD | -0.23% | -1.36% | -1.95% | -1.59% | -1.99% | -3.04% |
| Years | 2018 | 2019 | 2020 | 2021 | 2022 | 2023 |
|---|---|---|---|---|---|---|
| ROR | -0.99% | 4.45% | -7.74% | 4.82% | 7.05% | 4.38% |
| Max DD | -3.25% | -1.43% | -11.62% | -1.49% | -1.99% | -1.25% |
| Years | 2024 | 2025 YTD |
|---|---|---|
| ROR | 2.15% | -3.41% |
| Max DD | -2.21% | -3.95% |
PAST PERFORMANCE DOES NOT GUARANTEE FUTURE SUCCESS. IN SOME CASES MANAGED ACCOUNTS ARE CHARGED SUBSTANTIAL COMMISSIONS AND ADVISORY FEES. THOSE ACCOUNTS SUBJECT TO THESE CHARGES, MAY NEED TO MAKE SUBSTANTIAL TRADING PROFITS JUST TO AVOID DEPLETION OF THEIR ASSETS. EACH COMMODITY TRADING ADVISOR ("CTA") IS REQUIRED BY THE COMMODITY FUTURES TRADING COMMISSION ("CFTC") TO ISSUE TO PROSPECTIVE CLIENTS A RISK DISCLOSURE DOCUMENT OUTLINING THESE FEES, CONFLICTS OF INTEREST AND OTHER ASSOCIATED RISKS. A HARD COPY OF THESE RISK DISCLOSURE DOCUMENTS ARE READILY AVAILABLE BY CLICKING ON EACH CTA'S "REQUEST DISCLOSURE DOCUMENT" BUTTON.
THE FULL RISK OF COMMODITY FUTURES, OPTIONS AND FOREX TRADING CAN NOT BE ADDRESSED IN THIS RISK DISCLOSURE STATEMENT. NO CONSIDERATION TO INVEST SHOULD BE MADE WITHOUT THOROUGHLY READING THE DISCLOSURE DOCUMENT OF EACH OF THE CTAS IN WHICH YOU MAY HAVE AN INTEREST. REQUESTING A DISCLOSURE DOCUMENT PLACES YOU UNDER NO OBLIGATION AND EACH DOCUMENT IS PROVIDED AT NO COST. THE CFTC HAS NOT PASSED UPON THE MERITS OF PARTICIPATING IN ANY OF THE FOLLOWING PROGRAMS NOR ON THE ADEQUACY OR ACCURACY OF THE DISCLOSURE DOCUMENTS. OTHER DISCLOSURE STATEMENTS ARE REQUIRED TO BE PROVIDED TO YOU BEFORE AN ACCOUNT MAY BE OPENED FOR YOU.
PAST PERFORMANCE IS NOT NECESSARILY INDICATIVE OF FUTURE RESULTS. PROSPECTIVE CLIENTS SHOULD NOT BASE THEIR DECISION ON INVESTING IN THIS TRADING PROGRAM SOLELY ON THE PAST PERFORMANCE PRESENTED. ADDITIONALLY, IN MAKING AN INVESTMENT DECISION, PROSPECTIVE CLIENTS MUST ALSO RELY ON THEIR OWN EXAMINATION OF THE PERSON OR ENTITY MAKING THE TRADING DECISIONS AND THE TERMS OF THE ADVISORY AGREEMENT INCLUDING THE MERITS AND RISKS INVOLVED.
AUTUMN GOLD CTA INDEXES ARE NON-INVESTABLE INDEXES COMPRISED OF THE CLIENT PERFORMANCE OF CTA PROGRAMS INCLUDED IN THE AUTUMN GOLD DATABASE AND DO NOT REPRESENT THE COMPLETE UNIVERSE OF CTAS. INVESTORS SHOULD NOTE THAT IT IS NOT POSSIBLE TO INVEST IN THESE INDEXES.
