A flying start to 2007 Currency strategies down in 2006
NEWS
The Dutch bank's naive simulations of currency management styles demonstrated a year of poor performance for trend- following strategies.
The trend-following simulation was down 6.4% in the past year. Other strategies to have suffered were the yield and value-based strategies, which were down 2.8% and 0.5% respectively.
By comparison, the short-volatility-based strategy was up 0.9%. This strategy sells at-the-money-forward straddles for each currency at the start of each month, if implied
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