More banks put money on research
Jake Moore, an FX analyst at Barclays Capital in Tokyo, has managed the FX portfolio since January 2003 on a simulated basis. Following a return of 8.2% in 2003 with 3.4% risk and a Sharpe ratio of 2.0x, the bank will begin trading on its portfolio this year.
The weekly update on the portfolio is sent to the proprietary desk, hedge funds and real-money managers. Some clients trade directly on the report, but most, including the bank’s prop desk, use it as an extra part of the strategy product
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