Currency Strategies
Sep 15, 2022
Climate Change Vulnerability and Currency Returns
By Alexander Cheema-Fox, George Serafeim, and Hui (Stacie) Wang. Substantial physical impacts from climate change are already happening around the world and are expected to accelerate in the next few decades. Using measures of physical risk from climate change, we develop a methodology to allocate currency pairs according to a country’s vulnerability to climate change. In turn, we use this to demonstrate how investors can construct portfolios with decreasing vulnerability to physical risk. During ...
Mar 17, 2020
The Equity Differential Factor in Currency Markets
By David Turkington and Alireza Yazdani. Published in the Financial Analysts Journal, March 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. What is the relationship between a country’s currency and the performance of its stock market? Conventional wisdom suggests that only weak links exist between the two, but we find otherwise. It turns out ...
Sep 1, 2019
Carry On
By Megan Czasonis, Baykan Pamir, and David Turkington Published in the Journal of Alternative Investments, Fall 2019 We investigate features of carry returns that contributed to the strategy’s performance in the decades prior to the 2008 global financial crisis, and evaluate whether these features have changed in the years following the crisis.
1. Peter L. Bernstein Award for Best Article in an Institutional Investor Journal in 2013; Bernstein-Fabozzi/Jacobs-Levy Award for Outstanding Article in the Journal of Portfolio Management in 2006, 2009, 2011, 2013 (2), 2014, 2015, 2016, 2021; Graham & Dodd Scroll Award for article in the Financial Analysts Journal in 2002 and 2010. Roger F. Murray First Prize for Research Presented at the Q Group Conference in 2012, 2021, 2023. Harry M. Markowitz Award for Best Paper in the Journal of Investment Management in 2022, 2023. Doriot Award for Best Private Equity Research Paper in 2022.