Data reveals hidden clockwork of FX forwards market
More than 70% of Vanguard’s volumes and nearly half of Pimco’s regularly occur on just four calendar days
A study of mutual and exchange-traded funds’ foreign exchange forwards data has shown remarkably consistent trading behaviour among some of the largest users of the instrument, allowing hundreds of billions of dollars of trade executions from the likes of Vanguard and Pimco to be predicted almost to the day.
The predictions derive from four years of US fund regulatory filings analysed by Risk.net and compiled in Counterparty Radar. Over the period, trades have matured along consistent periods
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