Short volatility falters in May
LONDON - Trend followers had their best month since 1975 in May, with large net moves and falling daily volatility creating the ideal environment for the strategy, according to research by Royal Bank of Scotland (RBS).
The bank's naive simulations of currency management styles returned 11.3% for the trend simulation, which benefited from a continuing trend of dollar weakness versus all currencies except yen, said James Binny, in index research at RBS based in London.
"Although the net move in
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