MontLake AlphaQuest UCITS

Quest Partners was founded in 2001 by Nigol Koulajian and currently manages $2.7bn, of which $2.5bn are run in the flagship strategy – the Alpha Quest Original program (AQO). The firm predominantly trades liquid futures and FX forwards across countries and asset classes (commodities, equity indices, currencies and Fixed Income), with cash equities currently a small component of the portfolio. The AQO’s approach is highly differentiated from traditional CTAs; it is short-term in nature and aims to produce positive skew (i.e. insurance-like characteristics). The strategy is 100% systematic with the investment process primarily focused on capturing short-term volatility expansion which typically coincide with periods of market dislocations. Starting from a global liquid opportunity set of 85+ liquid markets, the AQO program employs a proprietary filtering process (applied to all markets) which looks at multiple timeframes (15-minute to 500-day) to identify trades that have the highest probability of success and the greatest convexity per unit of risk. Trades are typically executed soon after breakout signals are triggered, after which positions are entered quickly, in large size (generally they reach target size within a few days) and with tight stops. This is all designed to maximise positive skew. By construction the portfolio seeks to have equal risk exposures across major asset classes  in the long term.