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30 October 2020 FX

Ep. 35: Michael Melvin On Quant Strategies In Currencies, Impact Of QE And Machine Learning

Bilal Hafeez Bilal Hafeez
1 min read

Michael was Managing Director and Senior Research Advisor in Multi-Asset Strategies at BlackRock. Prior to that he was head of Currency and Fixed Income Research in the Global Market Strategies Group at BlackRock and Barclays Global Investors. Michael is currently Executive Director of the Master of Finance program and also serves as Executive Director of the Pacific Center for Asset Management at UC San Diego. He has been a visiting scholar at the Federal Reserve Board, the International Monetary Fund, and the Bank for International Settlements. In this podcast we discuss:

The difference between quantitative and fundamental investing
How to systematically earn alpha in FX markets
How to think about FX carry and momentum strategies
Does flow data have any value?
How the QE-era has fundamentally changed FX investing
The importance of China and the Chinese yuan
How to use machine learning for trading
Why understanding transaction costs is critical
How to benchmark the performance of currency managers
Papers mentioned: Preserving Alpha: The Effect of Trade Size and Rebalancing Frequency on FX Strategy Returns and Active Currency Investing and Performance Benchmarks
Books that influenced Michael: Active Portfolio Management and Autobiography of a Yogi

You can find Michaels academic page and contact details here.

Make sure to subscribe to the show on Apple, Spotify, YouTube, or wherever you go for your podcasts. You can follow us on Twitter and LinkedIn.

(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.)

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