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)






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