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Carry Still Top Currency Trading Strategy - ABN Amro LONDON -(Dow Jones)- Currency trading strategies based on interest rates remained the most profitable core theme in the market in May, according to new data from ABN Amro NV (ABN). The bank's research, which was released Friday, offers an insight into the returns available to currency hedge funds. It shows that the so-called carry trade, where traders and investors buy currencies with high interest rates and sell those with lower rates, produced returns of +1.1% in May. That brings the strategy's year-to-date returns to +0.9%, and returns over the past 12 months to +3.6%. The bank said the carry trade's performance in May was consistent with the fall in volatility and the corresponding rise in investor risk appetite over the period. Key positions for the strategy include selling the Japanese yen, the Swiss franc and the Swedish krona. Among other key trading themes, the trend-following strategy continued its poor run, posting a loss of 1% in May. The bank said that low levels of volatility worked against this strategy. The trend-following strategy has lost 3.7% so far this year, and nearly 10% in the past 12 months. The value strategy, which trades based on long-term valuation models, also lost 1% in May. Long positions in the Japanese yen contributed heavily to the poor performance of this strategy, the bank said. So far this year, the valuation-based model has lost 2.6%. Over the last 12 months, the strategy has lost 5.6%. The short volatility strategy, which is based on selling currency options, also suffered from low levels of volatility in the market in May. The strategy produced returns of +0.5%, taking year-to-date returns to +0.3% and returns over the past 12 months to +3.2%. ABN Amro's data are designed to mirror the behavior of a medium-risk hedge fund.
Carry Still Top Currency Trading Strategy - ABN Amro LONDON -(Dow Jones)- Currency trading strategies based on interest rates remained the most profitable core theme in the market in May, according to new data from ABN Amro NV (ABN). The bank's research, which was released Friday, offers an insight into the returns available to currency hedge funds. It shows that the so-called carry trade, where traders and investors buy currencies with high interest rates and sell those with lower rates, produced returns of +1.1% in May. That brings the strategy's year-to-date returns to +0.9%, and returns over the past 12 months to +3.6%. The bank said the carry trade's performance in May was consistent with the fall in volatility and the corresponding rise in investor risk appetite over the period. Key positions for the strategy include selling the Japanese yen, the Swiss franc and the Swedish krona. Among other key trading themes, the trend-following strategy continued its poor run, posting a loss of 1% in May. The bank said that low levels of volatility worked against this strategy. The trend-following strategy has lost 3.7% so far this year, and nearly 10% in the past 12 months. The value strategy, which trades based on long-term valuation models, also lost 1% in May. Long positions in the Japanese yen contributed heavily to the poor performance of this strategy, the bank said. So far this year, the valuation-based model has lost 2.6%. Over the last 12 months, the strategy has lost 5.6%. The short volatility strategy, which is based on selling currency options, also suffered from low levels of volatility in the market in May. The strategy produced returns of +0.5%, taking year-to-date returns to +0.3% and returns over the past 12 months to +3.2%. ABN Amro's data are designed to mirror the behavior of a medium-risk hedge fund.
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