Maximally predictable currency portfolios
研究用最大可预测组合方法预测G10货币，发现该方法在样本外比简单等权组合和动量策略组合有更高夏普比率、更高累计收益和更低最大回撤，且2008年金融危机后表现尤其好。
We investigate the predictability of the G10 currencies with respect to lagged currency returns from the perspective of a U.S. investor, using the maximally predictable portfolio (MPP) approach of Lo and MacKinlay (1997). We show that, out-of-sample, the MPP yields a higher Sharpe ratio, higher cumulative return and lower maximum drawdown than both a naïve equal-weighted portfolio of the currencies and an equal-weighted portfolio of momentum trading strategies, and that a mean–variance investor would be willing to pay a performance fee to switch from the naïve and momentum portfolios to the MPP. The MPP has performed particularly well since the 2008 financial crisis, in contrast with the momentum portfolio, the value of which declined significantly over this period. Our results are robust to the estimation window length, the type and level of portfolio weight constraints and transaction costs.