经济势头和货币回报

Institute for Quantitative Research in Finance 2015 Pub Date : 2015-03-27 DOI:10.2139/ssrn.2579666

Magnus Dahlquist, Henrik Hasseltoft

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引用次数: 39

摘要

过去与经济活动和通货膨胀相关的基本面趋势可以预测货币回报。我们发现，在控制标准套利、动量和价值策略的情况下，做多经济势头强劲的货币和做空经济势头疲弱的货币的交易策略显示出0.70的年化夏普比率，并产生显著的α。经济动量策略包含了套息交易的alpha值，表明过去经济趋势的差异反映了套息交易的跨国差异。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Economic Momentum and Currency Returns

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.

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