Momentum has struggled to gain traction since the crisis but remain one of the oldest and time-tested strategies in FX. Deutsche Bank’s FX Momentum Index captures these returns by using 12-month trailing returns to rank G10 currencies. This index performed well in the hypothetical backtest from 1989-2003, but apart from a brief spike up in 2008, returns have been flat since 2003. But hypothetical returns have been encouraging since last quarter’s dollar rally.
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