Yield strategy wins out in 2010
In December, the strategy benefited from long positions in AUD and NOK, with the former making the bigger gain since it had the bigger position. Meanwhile, CAD and SEK also contributed smaller gains; all the other currencies had marginal positions, which made minor differences to the overall performance of the strategy, the bank said.
The trend strategy made 6.8% in 2010, but was the worst performer in December, posting a loss of –5.4%, despite the overall eventual weakness of the USD. This
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