Trend followers suffer losses
The bank's naive simulations of currency strategies found that trend followers lost 9.6% in the 12 months ending July 31, 6.7% on a year-to-date basis and 2% last month.
"A reversal in the currency direction mid-July is always likely to be a challenge for a medium-term trend-following strategy and the trend simulation suffered accordingly," said James Binny, executive director of foreign exchange analytics at ABN Amro in London.
During the first half of the month, the simulation's gains from US
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