We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk. The cross-country high-minuslow (HML) conditional skewness of the unemployment gap - our measure of global macroeconomic uncertainty - is a factor that...

This paper asks a few key questions relevant for active risk parity portfolio construction. Given the dynamic nature of financial markets, especially in the aftermath of the financial crisis, we believe systematically answering these questions within a transparent conceptual framework is...