Yield strategy results hit 15-year low
The bank's naive simulations of currency strategies found the yield strategy - generating 5.6% in losses - had its worst performance in August since June 1993. The strategy suffered from a short US dollar position, which was hardest hit by a long Australian dollar position. The strategy was down 3.4% on a year-to-date basis and 5.9% in the past 12 months.
"The simulation also had a bad month with long sterling and Norwegian krone positions - but the positions were smaller than for the Australian
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