Fair-value strategies pay off in March
The bank's value strategy simulation - based on simple fair value for currencies - returned 1.9% for the month, outperforming trend, yield and short volatility simulations.
James Binny, executive director, FX analytics and risk advisory at the bank in London, said the early part of March was characterised by continued dollar weakness and rising risk aversion, the latter in particular leading to JPY and CHF strength.
The valuation strategy had benefited from the strengthening of the yen, he said
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