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, July 7-13, 2018Receive this by email