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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)
Forecasting the COVID-19 Recession and Recovery: Lessons from the Financial Crisis (ECB, 36 page read)
Man vs. Machine Learning: The Term Structure of Earnings Expectations and Conditional Biases (NBER, 20 page read)
Chinese Open Source Data Collection, Big Data, And Private Enterprise Work For State Intelligence and Security: The Case of Shenzhen Zhenhua (NBER, 5 page read)
“Buy British”: The Viability of a Nationalist Commercial Policy (VoxEU, 3 min read)
(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.)