Forex Flash: Empire state of Mind - Nomura

On his recent round of client visits to New York, Nomura strategist Saeed Amen has noted that many things have not changed over the previous year.

Overall, he feels that the feeling among quant investors in New York is that the normalisation in markets offers mostly opportunities, but also some pitfalls from a systemic perspective. He writes, “Strategies that rely on certain correlations, such as those between equities and FX, have struggled. At the same time, trend following has flourished, following a long period of underperformance.” He sees that relative strategies have also performed well, with the market becoming more focused on idiosyncratic risks. However, he adds that there is a divergence between those currencies in which it has been successful and those in which it has been less so.