최신자료
An anatomy of currency strategies: The role of emerging markets
We show that a small set of emerging markets with floating exchange rates expand the investment frontier substantially relative to G10 currencies. The frontier is char- acterized by an out-of-sample mean-variance efficient portfolio that prices G10- and emerging markets-based trading strategies unconditionally as well as conditionally. Our approach reveals that returns to prominent trading strategies are largely driven by factors that do not command a risk premium. After real-time hedging of such unpriced risks, the Sharpe ratios of these strategies increase substantially, provid- ing new benchmarks for currency pricing models. For instance, the Sharpe ratio of the carry strategy increases from 0.71 to 1.29. The unpriced risks are related to geographically-based currency factors, while the priced risk that drives currency risk premiums is related to aggregate consumption exposure.
많이 본 자료
![[팀튜링의 디지털 오디세이] 제1화 UAM의 미래](/userdata/main/incContent/sideLink/19/aaaGHKBjsPPI5g31szc-y20240605110816byhta.png)
![[2024.04] 물가상승](/userdata/main/incContent/sideLink/20/aaaGHKBjsPPI5g31szc-y20240605111046bpogp.jpg)
