Beyond the Carry Trade: Optimal Currency Portfolios
Beyond the Carry Trade: Optimal Currency Portfolios
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DOI：
10.2139/ssrn.2041460
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发表时间：
2012-06
期刊：
影响因子：
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通讯作者：
Pedro Barroso;Pedro Santa-clara
中科院分区：
文献类型：
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作者：
Pedro Barroso;Pedro Santa-clara
我们测试了技术和基本面变量在形成货币投资组合中的相关性。利差、动量和价值反转都对投资组合的表现有贡献，而真实的汇率和经常账户则没有。由此产生的最优投资组合产生了样本外的回报，这些回报不能用风险来解释，对持有股票和债券的多元化投资者来说是有价值的。外汇风险使多样化投资组合的夏普比率平均增加0.5，同时降低了崩溃风险。我们认为，除了风险，货币回报反映了投机资本的稀缺性。
We test the relevance of technical and fundamental variables in forming currency portfolios. Carry, momentum, and value reversal all contribute to portfolio performance, whereas the real exchange rate and the current account do not. The resulting optimal portfolio produces out-of-sample returns that are not explained by risk and are valuable to diversified investors holding stocks and bonds. Exposure to currencies increases the Sharpe ratio of diversified portfolios by 0.5 on average, while reducing crash risk. We argue that besides risk, currency returns reflect the scarcity of speculative capital.