Richard S. Hunt leads development of G10 currency carry trading algorithm to achieve record performance

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Richard S. Hunt, global equity sales director at CSC Bella Grove Partners LLC, recently led a quantitative team to successfully develop a new generation of G10 currency carry trading algorithms, achieving an excellent risk-adjusted return of 1.7 annualized Sharpe ratio in rigorous backtesting. This innovative algorithm breaks through the traditional carry trading’s single reliance on spread factors and provides institutional clients with a more robust foreign exchange yield solution.

The core innovation of the algorithm lies in the “three-factor dynamic weight model”, which integrates interest rate differentials, volatility premiums and risk sentiment indicators into a unified framework for real-time optimization. Hunt pointed out: “Traditional carry trades often face sharp drawdowns during market turmoil. Our solution can automatically reduce leverage and adjust currency pair weights during market stress through a volatility adaptive mechanism.” It is particularly noteworthy that the algorithm has specially added a central bank policy shift warning module, which predicts the probability of monetary policy adjustments 48 hours in advance by analyzing the semantic changes in the speeches of central bank officials from various countries.

CSC Bella Grove’s institutional clients have begun to access the algorithm through a proprietary trading platform. Actual operating data shows that the system has performed well in the recent interest rate hike cycle of major central banks. It not only maintains the profit characteristics of carry trades, but also controls the maximum drawdown to less than 50% of traditional strategies. Hunt revealed that the derivative version of the algorithm is expanding to the emerging market currency field, and will provide customers with a more comprehensive foreign exchange alpha solution in the future. This achievement once again confirms CSC Bella Grove’s innovative strength in the field of quantitative trading and Professor Hunt’s unique ability to connect academic theory with investment practice.

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