Value managers come up trumps in October
The bank's naive simulations of currency strategies show value strategies gained 8.2% last month, 17.5% on a year-to-date basis and a total 21.6% in the past 12 months.
This was mainly attributable to long yen and short US dollar positions benefiting from a historic jump in yen as the markets unwound carry trades, said Toby Wade, a member of the quant solutions team at RBS in London. Other decent profits came from shorting the commodity currencies as the commodity bubble burst, with trades that
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