期刊
JOURNAL OF FINANCIAL ECONOMICS
卷 136, 期 1, 页码 152-167出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jfineco.2019.09.002
关键词
Carry trade; Foreign exchange rates; Predictability; Trend following; Trends
资金
- Jan Wallander and Tom Hedelius Foundation
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.
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