Short volatility strategies best earners in April
The bank's short volatility strategy simulation, which sells an at-the-money forward straddle for each currency at the start of each month, if implied volatility is above its one-year average for that currency, yielded 2.1% for the month. This outperformed the bank's other strategy simulations of value/PPP, yield and value.
Although it lost money due to moves in the Swiss franc and yen, the short volatility strategy recovered its previous month's losses, as net moves in other currencies were
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