QTS was established by Guillo, who was principal of the fund, after the spin-off of DB Cross Markets from Deutsche Bank Absolute Return Strategies. Bedouet was head portfolio manager. The firm, which had two other staff members, has now been dissolved.
"[Guillo and Bedouet's] quantitative approach to volatility arbitrage enriches and adds new strengths to our work in currency options, which we have been pursuing since 2001," said John Taylor, chairman of FX Concepts.
FX Concepts will use these skills to broaden the scope of its existing options-based systems, while developing new and complementary approaches based on volatility, he said.
The two brought with them some existing trading systems and some that were still in development and are now being completed at FX Concepts, said Philip Simotas, head of investment management in New York. All use non-directional strategies with embedded options in some form, he added.
Guillo has more than 10 years' trading and arbitrage experience in the fixed-income and equity derivatives markets in North America, Europe and Japan. He started his career in quantitative research and worked at several North American research facilities, including a Bell Labs affiliate and the University of Toronto. He also spent several years as an options/exotics dealer at Bankers Trust and Citigroup, both in New York and in London. For the past five years, he was the principal trader of hedge funds at DB Cross Markets and QTS.
Bedouet worked for nine years at Bankers Trust and Deutsche Bank, which bought Bankers Trust in November 1999, as an options trader in foreign exchange, commodities and equities. As a principal at Deutsche Bank, he was a senior trader in equities for five years. He joined QTS in September 2003 and worked on cross-asset volatility strategies.