Journal
JOURNAL OF FINANCIAL ECONOMICS
Volume 136, Issue 1, Pages 152-167Publisher
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jfineco.2019.09.002
Keywords
Carry trade; Foreign exchange rates; Predictability; Trend following; Trends
Categories
Funding
- Jan Wallander and Tom Hedelius Foundation
Ask authors/readers for more resources
Past trends in fundamentals linked to economic activity and inflation predict currency returns. We find that a trading strategy that goes long currencies with strong economic momentum and short currencies with weak economic momentum exhibits an annualized Sharpe ratio of 0.70 and yields a significant alpha when controlling for standard carry, momentum, and value strategies. The economic momentum strategy subsumes the alpha of carry trades, suggesting that differences in past economic trends capture cross-country differences in carry. (C) 2019 Elsevier B.V. All rights reserved.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available