Currency strategies down
NEWS
ABN Amro’s naive simulations of simple styles of currency management showed that price-based simulations – trend and short volatility – continued to face challenges and were down 2% and 1.2%, respectively. Strategies based on fundamental factors, such as value and yield, made small gains at 0.1%.
The results show an improvement over March for most strategies, which suffered on the back of currencies’ choppy behaviour. The trend-following strategy performed particularly badly that month – down 4
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