Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
4 documents
The document explains a currency carry trade: borrow or short currencies with relatively low central bank rates and hold currencies with relatively high rates, aiming to earn the interest-rate differential. Its simple example forms a universe of 10–20…
The document describes cross sectional momentum in foreign exchange: currencies with stronger recent returns have tended to outperform recent laggards. A simple version ranks a universe of roughly 10 to 20 currencies by their trailing 12 month returns…
The dollar carry trade uses the average forward discount of a basket of developed-market currencies relative to the US three-month Treasury rate to choose a currency position. If the US rate exceeds the basket’s average forward discount, the strategy goes…
This document presents a foreign-exchange value strategy that uses purchasing power parity (PPP) to compare currencies with estimated fair values. The suggested universe contains 10–20 currencies. Using the latest OECD PPP figure and monthly CPI and…