Value strategy up in November
The bank's naive simulations of currency strategies found the value strategy was up 1.3% last month. The simulation had short positions on all currencies except the yen and Swedish krona. In a reverse of October’s results, yen had the biggest loss and the Australian dollar, which had the largest short position, had the biggest gain.
The trend strategy ended the month with a loss, at –1%, due to a trend reversal in the US dollar. “At the start of the month, there was a downward trend of the US
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