Yield strategy comes up trumps in September

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According to the bank’s naive simulations of currency strategies, the yield strategy returned 6.2% last month, benefiting from gains by the major currencies against the US dollar. “This was due in part to the weaker US economic data during the first half of the month, and was further reinforced by the Federal Open Markets Committee policy statement in the second half that suggested the possibility of another phase of quantitative easing,” said Theodore Chen, in the quant solutions group at the

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