FX Carry + Value + Momentum Strategies over Their 200+ Year History

We mentioned multiple times that we at Quantpedia love historical analysis that spans over a long period of time as it offers a unique glimpse into the different macro environments and periods of political and economic instabilities. These long-term studies help a lot in risk management, and they also help investors set the right expectations about the range of outcomes in the future. Historical analysis of equity and fixed-income markets is not rare, but currency markets are less explored. Therefore, we are happy to investigate a recent paper by Joseph Chen that analyzes fx carry, currency momentum, and currency value strategies in over the 200-year history.

https://quantpedia.com/fx-carry-value-momentum-strategies-over-their-200-year-history/