Dynamic allocations for currency investment strategies
Dynamic allocations for currency investment strategies
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DOI：
10.1080/1351847x.2022.2100715
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发表时间：
2022-08
期刊：
影响因子：
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通讯作者：
Kei Nakagawa;Ryuta Sakemoto
中科院分区：
文献类型：
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作者：
Kei Nakagawa;Ryuta Sakemoto
本研究对个别货币投资策略的回报率和这些策略的权重进行了样本外检验。我们专注于五种投资策略：套利，动量，价值，美元套利和有条件外汇相关风险。我们的预测模型的性能使用统计和经济措施进行评估。在动态资产配置框架内，投资者根据预测模型的结果调整投资策略权重。我们发现，我们的预测模型优于我们的基准，它使用统计和经济措施方面的历史平均信息。当基准模型的夏普比率为0.52时，我们的预测模型每年产生的经济收益约为基准的1.16%。这些发现对投资者风险厌恶程度和投资组合优化目标波动率的变化具有鲁棒性。
This study conducts out-of-sample tests for returns on individual currency investment strategies and the weights on the universe of these strategies. We focus on five investment strategies: carry, momentum, value, dollar carry, and conditional FX correlation risk. The performances of our predictive models are evaluated using both statistical and economic measures. Within a dynamic asset allocation framework, an investor adjusts investment strategy weights based on the results of the prediction models. We find that our predictive model outperforms our benchmark, which uses historical average information in terms of statistical and economic measures. When the Sharpe ratio of the benchmark model is 0.52, our predictive model generates an economic gain of approximately 1.16% per annum over the benchmark. These findings are robust to the changes in investors’ risk aversion and target volatility for portfolio optimization.