Short volatility fares best in June
LONDON - Currency managers shorting volatility would have fared the best during June, benefiting from reasonably high intra-month volatility, according to research from Royal Bank of Scotland.
The bank's naive simulations of currency management styles made a small profit of 0.31% for the short volatility strategy, with short straddles in the US dollar against the Canadian dollar and Swedish krona. It lost money in the former but made money from the latter as the net move in the Swedish krona was
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