Beyond the Carry Trade: Optimal Currency Portfolios
测试技术和基本面变量在构建货币组合中的作用，发现套利、动量和价值反转均提升表现，而实际汇率和经常账户无效。最优组合产生样本外回报，不被风险解释，对持有股票和债券的多元化投资者有价值。
Abstract We test the relevance of technical and fundamental variables in forming currency portfolios. Carry, momentum, and value reversal all contribute to portfolio performance, whereas the real exchange rate and the current account do not. The resulting optimal portfolio produces out-of-sample returns that are not explained by risk and are valuable to diversified investors holding stocks and bonds. Exposure to currencies increases the Sharpe ratio of diversified portfolios by 0.5 on average, while reducing crash risk. We argue that besides risk, currency returns reflect the scarcity of speculative capital.