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Managing The Risk Of Currency Momentum Strategies
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Book Synopsis Managing the Risk of Currency Momentum Strategies by : Felix Dietrich
Download or read book Managing the Risk of Currency Momentum Strategies written by Felix Dietrich and published by . This book was released on 2018 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper investigates two risk-management techniques originally created for stock market momentum strategies, i.e. a) constant volatility targeting (scaling) and b) the implementation of stop-losses in the cross-section of portfolio components. It applies them to momentum strategies in currency markets and compares their effectiveness. It finds that constant volatility targeting (scaling) has no beneficial effect. In fact, detailed analysis suggests that it is a method uniquely suited to stock market momentum. Stop-losses are also far less useful than in stock markets. Finally, it suggests that not macroeconomic risk factors, but limits to arbitrage (stemming from high idiosyncratic volatility) are a potential source of currency momentum's high returns.
Book Synopsis Currency Momentum Strategies by : Lukas Menkho
Download or read book Currency Momentum Strategies written by Lukas Menkho and published by . This book was released on 2011 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We provide a broad empirical investigation of momentum strategies in the foreign exchange market. We find a signiffcant cross-sectional spread in excess returns of up to 10% p.a. between past winner and loser currencies. This spread in excess returns is not explained by traditional risk factors, it is partially explained by transaction costs and shows behavior consistent with investor under- and over-reaction. Moreover, crosssectional currency momentum has very different properties from the widely studied carry trade and is not highly correlated with returns of benchmark technical trading rules. However, there seem to be very effective limits to arbitrage which prevent momentum returns from being easily exploitable in currency markets."--Abstract.
Book Synopsis Mastering the Currency Market: Forex Strategies for High and Low Volatility Markets by : Jay Norris
Download or read book Mastering the Currency Market: Forex Strategies for High and Low Volatility Markets written by Jay Norris and published by McGraw Hill Professional. This book was released on 2009-12-04 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: Make Volatility and Risk Work for You with Forex Trading! “This book should be in every trader/investor’s library. As we come out of this depressed market . . . this book can be your companion, helping you avoid mistakes and enhance your trading/investment program.” —Bill M. Williams, author of Trading Chaos “Whether you’re just getting started trading the world’s most exciting financial market, or you’re looking to add to your trading edge, [the authors] have written an engaging book packed with powerful techniques that you can use right now.” —Rob Booker, trader, author, educator, and founder and host of TraderRadio.net The foreign exchange market is the largest trading market in the world, with average daily volume well into the trillions. Because the market is always characterized by high liquidity, forex traders benefit most from volatile markets—making it the ideal investment approach today and well into the future. Mastering the Currency Market is a comprehensive guide to currency and futures trading strategies and techniques for both highly volatile and nonvolatile markets. Putting to work their vast and highly diverse experience in forex trading, the authors explain how to take advantage of the many benefits of foreign exchange trading, including its low cost of entry afforded by margin, and the dynamic pricing by nature of the competitive marketplace. Mastering the Currency Market is divided into five sections covering: The basics of trading currencies Fundamental analysis of price valuation Technical analysis and trading charts Trading philosophy and psychological discipline Volatility and risk management With four decades of combined experience, the authors clearly communicate to you a trading method that will give you the confidence to both analyze markets and execute trades successfully, regardless of underlying market conditions. As 2008 introduced nightmare scenarios for investors around the world, it was Al Gaskill’s most productive period of his trading career. He used the same trading methods spelled out in this book. Apply the lessons inside and you’ll see profits rise during periods of high market volatility, and when the market slows down, you can downshift to countertrending methods. It’s a win-win investing method, and Mastering the Currency Market leads you through it every step of the way.
Book Synopsis Currency Momentum Strategies by : Elias Papaioannou
Download or read book Currency Momentum Strategies written by Elias Papaioannou and published by . This book was released on 2012 with total page 86 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The currency conundrum: understanding forex markets by : George Wilton
Download or read book The currency conundrum: understanding forex markets written by George Wilton and published by Az Boek. This book was released on 2024-04-27 with total page 47 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Currency Risk Management by : Gary Shoup
Download or read book Currency Risk Management written by Gary Shoup and published by Global Professional Publishi. This book was released on 1998-10-28 with total page 284 pages. Available in PDF, EPUB and Kindle. Book excerpt: With the advent of the World Trade Organization and NAFTA, foreign exchange now impacts the corporate world as never before. Hedging currency risk - usually through the interbank network - is now a routine treasury function. However, midsized companies (up to $100 million in annual sales) are often shut out of the interbank market because of cost and minimum size requirements. Currency Risk Management: A Handbook for Financial Managers, Brokers, and Their Consultants shows how to capture this business - from the basic concepts of foreign exchange to prospecting the corporate client. The author writes in an easy-to-read style and shows the finer points of foreign exchange and various exchange regimes recognized by the IMF. The reader will learn why exchange rates are a matter of government restrictions and controls as well as market price discovery.
Book Synopsis Market Momentum by : Stephen Satchell
Download or read book Market Momentum written by Stephen Satchell and published by John Wiley & Sons. This book was released on 2020-12-02 with total page 448 pages. Available in PDF, EPUB and Kindle. Book excerpt: A one-of-a-kind reference guide covering the behavioral and statistical explanations for market momentum and the implementation of momentum trading strategies Market Momentum: Theory and Practice is a thorough, how-to reference guide for a full range of financial professionals and students. It examines the behavioral and statistical causes of market momentum while also exploring the practical side of implementing related strategies. The phenomenon of momentum in finance occurs when past high returns are followed by subsequent high returns, and past low returns are followed by subsequent low returns. Market Momentum provides a detailed introduction to the financial topic, while examining existing literature. Recent academic and practitioner research is included, offering a more up-to-date perspective. What type of book is Market Momentum and how does it serve a range of readers’ interests and needs? A holistic market momentum guide for industry professionals, asset managers, risk managers, firm managers, plus hedge fund and commodity trading advisors Advanced text to help graduate students in finance, economics, and mathematics further develop their funds management skills Useful resource for financial practitioners who want to implement momentum trading strategies Reference book providing behavioral and statistical explanations for market momentum Due to claims that the phenomenon of momentum goes against the Efficient Markets Hypothesis, behavioral economists have studied the topic in-depth. However, many books published on the subject are written to provide advice on how to make money. In contrast, Market Momentum offers a comprehensive approach to the topic, which makes it a valuable resource for both investment professionals and higher-level finance students. The contributors address momentum theory and practice, while also offering trading strategies that practitioners can study.
Book Synopsis 7 Winning Strategies For Trading Forex by : Grace Cheng
Download or read book 7 Winning Strategies For Trading Forex written by Grace Cheng and published by Harriman House Limited. This book was released on 2010-04-19 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many traders go around searching for that one perfect trading strategy that works all the time in the global FOREX (foreign exchange/currency) market. Frequently, they will complain that a strategy doesn't work. Few people understand that successful trading of the FOREX market entails the application of the right strategy for the right market condition. 7 Winning Strategies For Trading Forex covers: - Why people should be paying attention to the FOREX market, which is the world's largest and most liquid financial market - How understanding the structure of this market can be beneficial to the independent trader - How to overcome the odds and become a successful trader - How you can select high-probability trades with good entries and exits. Grace Cheng highlights seven trading strategies, each of which is to be applied in a unique way and is designed for differing market conditions. She shows how traders can use the various market conditions to their advantage by tailoring the strategy to suit each one. This revealing book also sheds light on how the FOREX market works, how you can incorporate sentiment analysis into your trading, and how trading in the direction of institutional activity can give you a competitive edge in the trading arena. This invaluable book is ideal for new and current traders wanting to improve their trading performance. Filled with practical advice, this book is a must-read for traders who want to know exactly how they can make money in the FOREX market.
Book Synopsis Risk Management in Currency Trading by : Enoch Solomon
Download or read book Risk Management in Currency Trading written by Enoch Solomon and published by Independently Published. This book was released on 2023-01-24 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Risk management is a critical component of currency trading and is essential for protecting one's capital. Proper risk management strategies can help traders minimize potential losses and maximize returns. These strategies can include setting stop-loss orders, diversifying one's portfolio, and using risk-management tools such as position sizing and margin management. It is important for traders to have a solid understanding of risk management principles and to regularly review and adjust their risk management strategies as needed. In addition to the strategies mentioned above, there are several other risk management techniques that can be employed in currency trading. One such technique is using a combination of technical and fundamental analysis to identify and evaluate potential trades. This can help traders to better understand market conditions and to make more informed trading decisions. Another important aspect of risk management in currency trading is managing one's emotional state. This can be accomplished through the use of techniques such as mindfulness and stress management. By staying calm and composed, traders can make better decisions and avoid impulsive trades that can lead to large losses. It's also important to have a clear understanding of risk-reward ratio, which should be considered before opening any trade. This involves evaluating the potential profit versus the potential loss of a trade and determining if the trade is worth the risk.
Book Synopsis Handbook of Exchange Rates by : Jessica James
Download or read book Handbook of Exchange Rates written by Jessica James and published by John Wiley & Sons. This book was released on 2012-05-29 with total page 674 pages. Available in PDF, EPUB and Kindle. Book excerpt: Praise for Handbook of Exchange Rates “This book is remarkable. I expect it to become the anchor reference for people working in the foreign exchange field.” —Richard K. Lyons, Dean and Professor of Finance, Haas School of Business, University of California Berkeley “It is quite easily the most wide ranging treaty of expertise on the forex market I have ever come across. I will be keeping a copy close to my fingertips.” —Jim O’Neill, Chairman, Goldman Sachs Asset Management How should we evaluate the forecasting power of models? What are appropriate loss functions for major market participants? Is the exchange rate the only means of adjustment? Handbook of Exchange Rates answers these questions and many more, equipping readers with the relevant concepts and policies for working in today’s international economic climate. Featuring contributions written by leading specialists from the global financial arena, this handbook provides a collection of original ideas on foreign exchange (FX) rates in four succinct sections: • Overview introduces the history of the FX market and exchange rate regimes, discussing key instruments in the trading environment as well as macro and micro approaches to FX determination. • Exchange Rate Models and Methods focuses on forecasting exchange rates, featuring methodological contributions on the statistical methods for evaluating forecast performance, parity relationships, fair value models, and flow–based models. • FX Markets and Products outlines active currency management, currency hedging, hedge accounting; high frequency and algorithmic trading in FX; and FX strategy-based products. • FX Markets and Policy explores the current policies in place in global markets and presents a framework for analyzing financial crises. Throughout the book, topics are explored in-depth alongside their founding principles. Each chapter uses real-world examples from the financial industry and concludes with a summary that outlines key points and concepts. Handbook of Exchange Rates is an essential reference for fund managers and investors as well as practitioners and researchers working in finance, banking, business, and econometrics. The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels.
Book Synopsis Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk by : Gary Antonacci
Download or read book Dual Momentum Investing: An Innovative Strategy for Higher Returns with Lower Risk written by Gary Antonacci and published by McGraw Hill Professional. This book was released on 2014-11-21 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: The investing strategy that famously generates higher returns with substantially reduced risk--presented by the investor who invented it "A treasure of well researched momentum-driven investing processes." Gregory L. Morris, Chief Technical Analyst and Chairman, Investment Committee of Stadion Money Management, LLC, and author of Investing with the Trend Dual Momentum Investing details the author’s own momentum investing method that combines U.S. stock, world stock, and aggregate bond indices--a formula proven to dramatically increase profits while lowering risk. Antonacci reveals how momentum investors could have achieved long-run returns nearly twice as high as the stock market over the past 40 years, while avoiding or minimizing bear market losses--and he provides the information and insight investors need to achieve such success going forward. His methodology is designed to pick up on major changes in relative strength and market trend. Gary Antonacci has over 30 years experience as an investment professional focusing on under exploited investment opportunities. In 1990, he founded Portfolio Management Consultants, which advises private and institutional investors on asset allocation, portfolio optimization, and advanced momentum strategies. He writes and runs the popular blog and website optimalmomentum.com. Antonacci earned his MBA at Harvard.
Book Synopsis Management of Currency Risk by : Boris Antl
Download or read book Management of Currency Risk written by Boris Antl and published by Euromoney Publications. This book was released on 1989 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Divides into 10 parts:framework of foreign exchange exposure management; currency risk and exposure; objectives and strategies; other elements of foreign exchange exposure management; markets and techniques; uses and applications; international accounting and disclosure; international taxation; management evaluation and control; and company profiles.
Book Synopsis Do Momentum Based Strategies Still Work in Foreign Currency Markets? by : Derek R. White
Download or read book Do Momentum Based Strategies Still Work in Foreign Currency Markets? written by Derek R. White and published by . This book was released on 2001 with total page 57 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the performance of momentum trading strategies in foreign exchange markets. We find the well-documented profitability of momentum strategies with equities to hold for currencies as well and to have continued throughout the 1980s and the 1990s. Our results indicate that the long/short strategy of buying the most attractive currency and shorting the least attractive currency obtains average excess returns that are significantly positive. Of particular note, the profitability to momentum strategies in foreign exchange markets has been particularly strong during the latter half of the 1990s. By examining 354 long/short moving average rules across eight currencies, we show the results are insensitive to the specification of the trading rule and the base currency for analysis. We also show that the correlations of the long/short momentum strategies using differing base currencies are very high - typically around 0.90. This would indicate that strong/weak momentum currencies relative to a base currency at a particular time are typically also strong/weak currencies relative to most other base currencies as well. Finally, using a bootstrap methodology we show that the performance is not due to a time-varying risk premium but depends on the underlying autocorrelation structure of the currency returns. In sum, the results lend further support to prior momentum studies on equities. The profitability to momentum-based strategies holds for currencies as well.
Book Synopsis Momentum and Trend Following Trading Strategies for Currencies Revisited - Combining Academia and Industry by : Janick Rohrbach
Download or read book Momentum and Trend Following Trading Strategies for Currencies Revisited - Combining Academia and Industry written by Janick Rohrbach and published by . This book was released on 2019 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: Momentum trading strategies are thoroughly described in the academic literature and used in many trading strategies by hedge funds, asset managers, and proprietary traders. Baz et al. (2015) describe a momentum strategy for different asset classes in great detail from a practitioner's point of view. Using a geometric Brownian Motion for the dynamics of the returns of financial instruments, we extensively explain the motivation and background behind each step of a momentum trading strategy. Constants and parameters that are used for the practical implementation are derived in a theoretical setting and deviations from those used in Baz et al. (2015) are shown. The trading signal is computed as a mixture of exponential moving averages with different time horizons. We give a statistical justification for the optimal selection of time horizons. Furthermore, we test our approach on global currency markets, including G10 currencies, emerging market currencies, and cryptocurrencies. Both a time series portfolio and a cross-sectional portfolio are considered. We find that the strategy works best for traditional fiat currencies when considering a time series based momentum strategy. For cryptocurrencies, a cross-sectional approach is more suitable. The momentum strategy exhibits higher Sharpe ratios for more volatile currencies. Thus, emerging market currencies and cryptocurrencies have better performances than the G10 currencies. This is the first comprehensive study showing both the underlying statistical reasons of how such trading strategies are constructed in the industry as well as empirical results using a large universe of currencies, including cryptocurrencies.
Book Synopsis Trend Following with Managed Futures by : Alex Greyserman
Download or read book Trend Following with Managed Futures written by Alex Greyserman and published by John Wiley & Sons. This book was released on 2014-08-25 with total page 470 pages. Available in PDF, EPUB and Kindle. Book excerpt: An all-inclusive guide to trend following As more and more savvy investors move into the space, trend following has become one of the most popular investment strategies. Written for investors and investment managers, Trend Following with Managed Futures offers an insightful overview of both the basics and theoretical foundations for trend following. The book also includes in-depth coverage of more advanced technical aspects of systematic trend following. The book examines relevant topics such as: Trend following as an alternative asset class Benchmarking and factor decomposition Applications for trend following in an investment portfolio And many more By focusing on the investor perspective, Trend Following with Managed Futures is a groundbreaking and invaluable resource for anyone interested in modern systematic trend following.
Book Synopsis Strategic Risk Management by : Campbell R. Harvey
Download or read book Strategic Risk Management written by Campbell R. Harvey and published by John Wiley & Sons. This book was released on 2021-05-04 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: STRATEGIC RISK MANAGEMENT Having just experienced a global pandemic that sent equity markets into a tailspin in March 2020, risk management is a more relevant topic than ever. It remains, however, an often poorly understood afterthought. Many portfolios are designed without any thought given to risk management before they are handed off to a dedicated—but separate—risk management team. In Strategic Risk Management: Designing Portfolios and Managing Risk, Campbell R. Harvey, Sandy Rattray, and Otto Van Hemert deliver a reimagining of the risk management process. The book envisions a marriage between the investment and risk processes, an approach that has proven successful at the world’s largest publicly listed hedge fund, Man Group. The authors provide readers with a new framework for portfolio design that includes defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. You will learn about how the book’s new approach to risk management fared during the recent market drawdown at the height of the COVID-19 pandemic. You will also discover why the traditional risk weighting approach only works on certain classes of assets. The book shows you how to accurately evaluate the costs of defensive strategies and which ones offer the best and most cost-effective protection against market downturns. Finally, you will learn how to obtain a more balanced return stream by targeting volatility rather than a constant notional exposure and gain a deeper understanding of concepts like portfolio rebalancing. Perfect for people working in the asset management industry and financial policy makers, Strategic Risk Management: Designing Portfolios and Managing Risk will also earn a place in the libraries of economics and finance scholars, as well as casual readers who take an active approach to investing in their savings or pension assets. PRAISE FOR STRATEGIC RISK MANAGEMENT “Strategic Risk Management shows how to fully embed risk management into the portfolio management process as an equal partner to alpha. This should clearly be best practice for all asset managers.” —Jase Auby, Chief Investment Officer, the Teacher Retirement System of Texas “This book shows the power of integrating risk and investment management, rather than applying risk management as an afterthought to satisfy set limits. I was pleased to shepherd some of the key ideas in this book through the publication process at The Journal of Portfolio Management.” —Frank J. Fabozzi, Editor, The Journal of Portfolio Management “Financial markets today are quite different from those of the last century. Understanding leverage, correlations, tails, and other risk parameters of a portfolio is at least as important as work on signals and alpha. In that sense, bringing risk management from ‘control’ to ‘front office’ should be a priority for asset managers. This book explains how to do it.” —Marko Kolanovic, Chief Global Market Strategist, J.P. Morgan A powerful new approach to risk management in volatile and uncertain markets While the COVID-19 pandemic threw the importance of effective risk management into sharp relief, many investment firms hang on to a traditional and outdated model of risk management. Using siloed and independent portfolio management and risk monitoring teams, these firms miss out on the opportunities presented by integrated risk management. Strategic Risk Management: Designing Portfolios and Managing Risk delivers a fresh approach to risk management in difficult market conditions. The accomplished author team advocates for the amalgamation of portfolio design and risk monitoring teams, incorporating risk management into every aspect of portfolio design. The book provides a roadmap for the crucial aspects of portfolio design, including defensive strategies, drawdown risk controls, volatility targeting, and actively timing rebalancing trades. You will discover how these techniques helped the authors achieve remarkable results during the market drawdown in the midst of the COVID-19 pandemic and how they can help you protect your assets against unpredictable—but inevitable—future bear markets. Ideal for professionals in the asset management industry, Strategic Risk Management: Designing Portfolios and Managing Risk is a valuable resource for financial policy makers, economics and finance scholars, and anyone with even a passing interest in taking an active role in investing for their future.
Book Synopsis The Carry Trade and Currency Momentum Strategies by : Véronique Dagenais
Download or read book The Carry Trade and Currency Momentum Strategies written by Véronique Dagenais and published by . This book was released on 2020 with total page 87 pages. Available in PDF, EPUB and Kindle. Book excerpt:
