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Emerging vs. developed: a comparative analysis of carry trade and momentum strategies in foreign exchange markets
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| 1.36 MB | Adobe PDF |
Orientador(es)
Resumo(s)
This paper focuses on two popular speculation strategies performed in foreign exchange
markets: Carry trade and momentum. These strategies were applied individually using
currencies from both emerging and developed markets examining whether an expansion of the
range of available currencies leads to better returns. The group report seeks to combine five
strategies from different regions and markets: the Volatility Timing & Momentum, the Value
Premium, the Efficiency & Growth, the Investor Sentiment & Volatility Timing, and the Carry
& Momentum. The Equal-weighted (EW), the Tangency (TP), and the Global Minimum
Variance (GMV) portfolios were created to combine the above-mentioned portfolios.
Descrição
Palavras-chave
Currency momentum Carry trade Currency risk factors Foreign exchange market Emerging markets Developed markets