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The Equity Differential Factor in Currency Markets

By David Turkington, State Street Associates

Mar 17, 2020

Currencies tend to appreciate after their local equity market has done well, and a diversified strategy formed on this simple rule outperforms the traditional FX carry, value and momentum strategies.

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1.Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Doriot Award for Best Private Equity Research Paper in 2022; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012 and 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010.