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White Papers

Assessing sources of excess return in currencies

This paper presents Record's view of the opportunities to target excess returns in currencies. We present both the fundamental underpinnings of these opportunities and the macroeconomic phenomena which give rise to them. The four opportunities, or “factors” considered here are:
• Growth
• Carry
• Momentum
• Value

We then consider how these factors can be combined to produce a diversified portfolio. Each factor has a different relationship to the underlying macroeconomy, and combined together they result in a robust and well diversified currency portfolio with appealing return and risk characteristics.

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All white papers posted were created by the listed authors who are solely responsible for the research, finding and all materials contained therein. Pensions & Investments has not verified or edited the materials (other than for length and style) and does not necessarily agree or disagree with the analysis and positions expressed by the authors. Reference to any company, product or service does not imply recommendation or sponsorship by Pensions & Investments.

For more information on submitting a white paper, please contact Richard Scanlon at rscanlon@pionline.com or 212-210-0157.