The volatility factor led gains in October trading at 2.2%, the basket finished at the best levels in the month. The model is starting 3Q on a better footing, the second quarter recorded an average monthly performance of -0.73%, September posted a loss of -3.20%
Our model composite recovered into the end of the month to finish up by 0.60%, the marginal gain came after spending most of October flat. End of month trading saw sharp losses in yen crosses, this supported the G10FX composite model
As expected, the carry factor underperformed, this is in line with historical data. Volatility and carry factors usually trade inverted
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