The folks at Citigroup have gone and ruined an awfully lucrative, awfully simple arbitrage.
It doesn’t sound like the most sophisticated trading strategy, but betting on a reversal of whatever the euro has done during European hours once the U.S. session opened would have earned you a 9% return if you did it every day since the start of 2013, according to foreign-exchange strategists at Citigroup.
Citi has analyzed price moves in the euro-dollar exchange rate during Asian, European, and U.S. trading hours since 2009. While there’s been little overall change (a euro buys you $1.3716 today, compared with $1.4051 five and a half years ago) the behavior has varied markedly in different time zones, with the euro tending to reverse moves made during European hours once the U.S. market opens (no overall pattern for Asian trade was revealed).
Could This Be the Simplest Trading Strategy in the World? [WSJ MoneyBeat blog]