Citi's Alpha trumps Beta
Citi's four-year-old Beta 1 index is based on the most common strategies in FX, including carry, purchasing power parity and emerging market strategies. It also incorporates a 'trend' strategy, similar to Barclays' recently launched Adaptive FX Trend Index (FX Week, September 29).
The two-year-old Alpha 1 index goes a step further, incorporating sophisticated risk control and filter mechanisms that kick in when markets move into turbulent times. "For instance, Beta has a simple, broad exposure to
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