FX strategies in periods of distress
This article presents an overview of widely practised short-term multicurrency investment strategies such as carry trade, momentum and term spread strategies. We provide evidence on their downside risk properties and illustrate their performance over historical episodes of financial market turmoil. We show that the strategies exhibit substantial tail risks and that they do not perform uniformly during distress periods in global markets. Interestingly, equity market investments feature even greater downside risk.
Volume (Year): (2011)
Issue (Month): (December)
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- Christiansen, Charlotte & Ranaldo, Angelo & Söderlind, Paul, 2011.
"The Time-Varying Systematic Risk of Carry Trade Strategies,"
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- Christiansen, Charlotte & Ranaldo, Angelo & Söderlind, Paul, 2009. "The Time-Varying Systematic Risk of Carry Trade Strategies," CEPR Discussion Papers 7345, C.E.P.R. Discussion Papers.
- Paul Soderlind & Angelo Ranaldo & Charlotte Christiansen, 2009. "The Time-Varying Systematic Risk of Carry Trade Strategies," University of St. Gallen Department of Economics working paper series 2009 2009-06, Department of Economics, University of St. Gallen.
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NBER Working Papers
14473, National Bureau of Economic Research, Inc.
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"Common Risk Factors in Currency Markets,"
NBER Working Papers
14082, National Bureau of Economic Research, Inc.
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"Currency momentum strategies,"
Journal of Financial Economics,
Elsevier, vol. 106(3), pages 660-684.
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"Trades of the living dead: Style differences, style persistence and performance of currency fund managers,"
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Elsevier, vol. 29(8), pages 1752-1775, December.
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