It’s been a torrid year for FX investors. One measure of currency investorperformance, the Stark currency managers’ index, shows that investors aredown almost 4% this year. This follows last year’s loss of 1.6%. Admittedly,the index is biased to managers who employ trend-following strategies (seethe February edition of our Exchange Rate Perspectives for more on this). Bybroadening strategies to include carry and valuations, we find that currencyperformance is actually flat on the year. We calculate this by using our dbCurrency Returns index (dbCR), which replicates simple strategies in eachstyle. It would appear that while trend-following has done poorly this year,carry has done well. Last year, the dbCR was actually up 2.3% – that timethanks to valuations and longer-term trend.
Read the full report: FX Daily
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