Currency managers up in 2009

LONDON – Currency managers employing the short volatility strategy stormed through 2009 with returns of 20.9%, according to research from Royal Bank of Scotland (RBS).

The bank’s naive simulation of currency management styles found the short volatility strategy was the top performer, benefiting from high levels of volatility at the start of the year. But with implied volatilities remaining below one-year averages since September, the strategy took no positions through to the end of the year.


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