With reference to the following post:
KhmerConnection > Community > Business and Finance I think the big question here is over the past 2-4 years, what has been the maximum deviation from neutrality resulting from taking a short position with the CHF/JPY to hedge against the long position taken with the GBP/JPY? This seems like a good conservative system if these pairs never significantly deviate from each other. If someone could determine over the past 2-4 years what the maximum deviations are and how long they have lasted, this would be very helpful in developing a concise trading plan—most importantly, the amount of reserve one needs to hold to survive the drawdowns. Is there anything else that one needs to look out for with this type of interest collecting hedging system?
Thank you