Currency strategy success continues

- By FX Markets Staff
- @FXMarkets_
- 08 Dec 2008

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The bank's naive simulations of currency strategies found the short volatility strategy gained the most during a month of high intra-month volatility. The strategy was up 15.4% but has made a loss of 7.2% on a year-to-date basis and a loss of 2% in the past 12 months.

Despite the high level of volatility, the net moves in currencies against the US dollar, except sterling, were less significant and the filters on the momentum strategy important, the bank said. So the trend strategy was also up

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