The material on this site is for financial institutions, professional investors and their professional advisers. It is for information only. Please read our Terms & Conditions, Privacy Policy and Cookies before using this site. Please see our Subscription Terms and Conditions.

All material subject to strictly enforced copyright laws. © 2022 Euromoney, a part of the Euromoney Institutional Investor PLC.

ABN Amro pioneers FX model that predicts price behaviour in EUR-USD spot rate

ABN Amro has pioneered an FX model that predicts price behaviour in EUR-USD spot rate.


The groundbreaking foreign exchange model indicates whether the  EUR-USD exchange rate is likely to trend higher or lower, or instead be subject to movements within a trading range. 


The ABN AMRO FX Regime Prediction Indicator, the first proven model of its kind, assesses  market volatility and positioning to assign a probability factor to likely movements in the EURUSD spot rate in the coming week.   


"This tool provides currency traders and portfolio managers with an extra level of sophistication  and choice in managing their currency exposure," says Aziz McMahon, Senior FX Strategist at  ABN AMRO. Typically, currency managers use one of two strategies: 'trend following', which takes positions  on long-term trends; and 'volatility capture', which uses option positions to sell volatility between  trends.   


Adopting a single strategy can cause losses: a market that is range trading undermines  maintained long or short positions, while short volatility positions fail to take advantage of trending  movements in the spot rate. This risk has been traditionally hedged by currency managers adopting both strategies side-byside. There is a limit to the potential losses of a single strategy, but also potential profits are lower.

You have reached premium content. Please log in to continue reading.

Read beyond the headlines with Euromoney

For over 50 years, our readers have looked to Euromoney to stay informed about the issues that matter in the international banking and financial markets. Find out more about our different levels of access below.


Unlimited access to and

Expert comment, long reads and in-depth analysis interviews with senior finance professionals

Access the results of our market-leading annual surveys across core financial services

Access the results of our annual awards, including the world-renowned Awards for Excellence

Your print copy of Euromoney magazine delivered monthly

£73.75 per month

Billed Annually


Unlimited access to and, including our top stories, long reads, expert analysis, and the results of our annual surveys and awards

Sign up to any of our newsletters, curated by our editors


Already a user?

We use cookies to provide a personalized site experience.
By continuing to use & browse the site you agree to our Privacy Policy.
I agree