We test the relevance of technical and fundamental variables in forming currency portfolios. Carry, momentum and reversal all contribute to portfolio performance, whereas the real exchange rate and the current account do not. The resulting optimal portfolio outperforms the carry trade and other...

This appendix to 'Beyond the Carry Trade: Optimal Currency Portfolios' presents supplementary results not included in the paper.The paper may be found here: 'http://ssrn.com/abstract=2041460' http://ssrn.com/abstract=2041460

We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain...

We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain...

We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain...

We examine the time-series risk-return trade-off among equity factors. We obtain a positive trade-off for profitability and investment factors. Such relationship subsists conditional on the covariance with the market factor, which represents consistency with Merton's ICAPM. Critically, we obtain...

We examine the risk-return trade-off among alternative equity factors. We obtain a positivein-sample trade-off for the pro fitability (RMW) and investment (CMA/IA) factors of Famaand French (2015) and Hou, Xue, and Zhang (2015), while for the market and momentumfactors there is a negative...

External imbalance is a central variable in international economics and recent research shows it is priced in currency portfolios. But Ang et al. (2017), among others, show that with a small and time-varying cross section, tests with individual assets are preferable. We find testing with...

This paper shows that leading theories of the beta anomaly fail to explain the anomaly’s conditional performance. Abnormal returns and Sharpe ratios of betting-against-beta (BAB) factors rise following months with below-median realized volatility, even controlling for mispricing, limits to...