RBS launches new forex index

FX Radar calculates positions by comparing the market-implied yield with a risk-adjusted yield that takes into account credit risk, market risk and liquidity risk.

The system has been back-tested in scenarios from 2001 onwards, and provided an average annual performance improvement of 12% at 5.6% annual volatility. The index seeks to provide low correlation to equity and bond markets, while being adaptable to changing market conditions by having the built-in safety net of an intra-month stop-loss

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