| 02.05.2012 Cass Business School research finds that currency momentum strategies yield "striking" annual returns of 10% |
| Beverly Chandler, Opalesque London: A new study of currency momentum risk and returns shows profits are attractive but offer no free lunch for investors, says the co-author of the report, Professor Lucio Sarno of Cass Business School. The study found that 'Cross-sectional strategies’ – where investors go long or short on a basket of currencies based on their past performance – yield the highe |