Transcription of db Currency Returns
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db Currency Returns
Db Currency ReturnsGLOBAL MARKETS| FOREIGN EXCHANGEC arrynOne of the most widely known andprofitable strategies in currencymarkets are carry trades, where onesystematically sells low interest ratecurrencies and buys high interestrate a strategy exploits whatacademics call forward-rate bias or the forward premium puzzle ,that is, the forward rate is not anunbiased estimate of future spot. Put another way, contrary to classicalnotions of efficient markets, carrytrades have made money over believe the reason this is possible is that investors whoemploy the carry trade exposethemselves to Currency taking this risk arerewarded by positive Returns over : Bond Indices Investors can earn a higher term premia by increasing durationMomentumnA widely observed feature ofcurrency markets is
DBCR Historical Returns n There are 20 years of data on freely floating currencies (since the end of Bretton Woods) by which to assess the performance of systematic strategies for investing in currencies n 3 strategies reflect the most widely used FX investment styles - Carry, Momentum and Valuation
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