Short-volatility strategy wins in October
The bank's naive simulation of the currency trading style generated a return of 2.7% last month. This was due to short volatility positions in the euro, Swiss franc and Norwegian krone put on at the end of September, which produced gains from their straddle positions.
Theodore Chen, in the quantitative solutions group at RBS in London, said: "All currencies posted gains against the US dollar, except the Swiss franc and Norwegian krone, which posted soft losses on the back of weak economic data."
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