By Bilal Hafeez 23-09-2020
In: post | Newsletter

Deep Dive: Excess Returns In FX Vol + Best Of The Web (Academic Papers)

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(1) Excess Returns In FX Volatility Markets (4 min read) The academic paper we review this week shows that a carry trade in volatility generates a significant Sharpe ratio. The associated volatility returns are virtually uncorrelated with the traditional carry trade and other popular currency strategies. Sam van de Schootbrugge goes through the details.

(Sam van de Schootbrugge │ 23rd September, 2020)

 

 

 

 

 

(The commentary contained in the above article does not constitute an offer or a solicitation, or a recommendation to implement or liquidate an investment or to carry out any other transaction. It should not be used as a basis for any investment decision or other decision. Any investment decision should be based on appropriate professional advice specific to your needs.)