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4 Apr 2013
Forex Flash: EM mom(entum) knows best - Nomura
FXstreet.com (Barcelona) - Nomura strategist asks, do returns come from relative value or USD crosses in EM momentum?
He begins by asking, “In EM does momentum come from USD crosses or is it something we observe at a relative value level?” Throughout his studies and using his gradient-based momentum trading rule, he finds that on the whole, trading USD crosses in EM in a trend-following manner often has higher returns than trading relative value crosses in EM. He believes that this suggests that EM momentum as a phenomenon is stronger in USD EM crosses compared with relative value EM.
He begins by asking, “In EM does momentum come from USD crosses or is it something we observe at a relative value level?” Throughout his studies and using his gradient-based momentum trading rule, he finds that on the whole, trading USD crosses in EM in a trend-following manner often has higher returns than trading relative value crosses in EM. He believes that this suggests that EM momentum as a phenomenon is stronger in USD EM crosses compared with relative value EM.