Optimizing Currency Factors
提出一个动态优化货币因子策略的框架，通过交易即期和远期货币，发现优化后的因子显著优于简单因子，并验证了其经济意义。
ABSTRACT We introduce a novel framework that dynamically optimizes currency factor strategies via trading currency spot and forward. We examine the performance of 24,336 portfolio optimization approaches and find that the optimized currency factors significantly outperform the naïve factors after correcting for data snooping bias. Our framework suits both symmetric factor portfolios, including carry, momentum, and value, and asymmetric factor portfolios, such as time series momentum and return signal momentum. An out‐of‐sample procedure that aggregates all the outperforming optimization approaches validates the economic significance of our optimized factor portfolio.