Trend followers suffer in January
LONDON – A sharp reversal in risk appetite in mid-January meant currency managers using the trend strategy were the biggest losers for the month, indicates research from Royal Bank of Scotland.
The bank's naive simulations of currency strategies found trend followers returned –1.5% last month. “It is no surprise the trend strategy is the biggest loser, due to the sharp reversal of currency direction mid-month,” said Theodore Chen, in the quant solutions team at RBS in London. “Needless to say
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