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SUMMARY:Optimal Factor Strategy in FX Markets
DTSTART:20170404T121500
DTEND:20170404T131500
DTSTAMP:20260501T173436Z
UID:e40d773a661bfc0bcc4cfd2c21e14ad41ed3813f4eb42efc9e781134
CATEGORIES:Conferences - Seminars
DESCRIPTION:Thomas MAURER (Washington University in St. Louis)\nWe constru
 ct a dynamic currency trading strategy that earns a remarkable out-of-samp
 le Sharpe ratio of 1.04 before and 0.78 after transaction costs. It substa
 ntially outperforms other popular carry trade strategies in terms of Sharp
 e ratio\, skewness\, kurtosis\, maximum drawdown\, expected recovery time\
 , and percentage of positive returns. Popular factor pricing models in int
 ernational finance do not explain the superior performance. Our strategy p
 redicts future (1- to 24-month ahead) returns and changes in global FX mar
 ket volatility. A pricing model using our trading strategy as a single fac
 tor outperforms and subsumes the popular “Dollar”-“Carry” two fact
 or pricing model. 
LOCATION:UNIL\, Extranef\, room 126 https://planete.unil.ch/plan/?local=EX
 T-126
STATUS:CONFIRMED
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