Barclays Capital (BarCap) has launched the Barclays Adaptive FX Trend Index, which tracks the performance of a currency portfolio and a risk-free benchmark. The index is designed to be used as an underlying for structured products such as delta-1 certificates and principal guaranteed structures.
The index performs an analysis of trends in G-10 currencies through moving averages, and of the volatility environment. Long and short positions in currencies are set according to moving average and vola
The week on Risk.net, November 17–24, 2017Receive this by email