Barclays launches forex trend index
The index tracks the performance of a currency portfolio of G-10 currencies and rebalances daily. The positions are determined by analysing the historical performance and volatility of the underlying currencies. The index is designed to follow trends during periods of low volatility while adapting to mean reversion in periods of high volatility.
The trend index offers a high Sharpe ratio and low-to-negative correlation to other asset classes and to other forms of alpha in the forex market, said
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