RBS: short volatility positive in January
LONDON - Only currency managers using a short-volatility strategy would have made a positive return in January, according to research by Royal Bank of Scotland (RBS).
The bank's naive simulations of currency strategies recorded a 4.3% return last month for the short-volatility strategy, which contrasts with the strategy's 9.8% loss over the past 12 months. The suitability of a short-volatility strategy was anticipated by the RBS Fair Value ATM Volatility model, which suggested that the market
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