StanChart FX YDA strategy up
LONDON - Standard Chartered Alternative Asset Group's (AAG) quantitative non-discretionary foreign exchange yield differential accrual (YDA) strategy generated a year-to-August return of 9.2%, despite converging G-10 interest rates.
The model aims to capture yield differentials from a basket of G-10 currencies by exploiting the forward discount anomaly. The strategy also runs a proprietary risk overlay that uses 16 macroeconomic indicators, such as credit spreads and equity volatilities, to
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