Tag Archives: correlation

Long EUR/Short CHF: A Possible Trade With A High Risk-Reward Ratio

Since September 2011, the Swiss franc has lost a large portion of its appeal as a safe haven currency. The pledge of the Swiss National bank to defend the 1.20 floor it pegged the franc against the euro changed significantly the investment characteristics of the EUR/CHF pair. This analysis examines the current negative correlation of the EURCHF pair, its volatility and how these could enhance or affect an investment portfolio.

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