Currency Management with Style

Risk & Reward, 2018, 1st issue, pp. 30-35

8 Pages Posted: 22 May 2018

See all articles by Harald Lohre

Harald Lohre

Robeco Quantitative Investments; Lancaster University Management School

Martin Kolrep

Invesco

Date Written: May 8, 2018

Abstract

Currency hedging is often approached with an all-or-nothing mentality: either full hedging of all foreign exchange (FX) positions or no hedging at all. As a more nuanced alternative, we suggest systematically harvesting the benefits of the FX style factors carry, value and momentum. In particular, we demonstrate how these factors can expand the opportunity set of traditional asset allocation when pursuing either FX factor-based tail-hedging or return-seeking strategies.

Keywords: Currency hedging, currency style factors, carry, value, momentum, tail-hedging

JEL Classification: F31, G11

Suggested Citation

Lohre, Harald and Kolrep, Martin, Currency Management with Style (May 8, 2018). Risk & Reward, 2018, 1st issue, pp. 30-35, Available at SSRN: https://ssrn.com/abstract=3175387

Harald Lohre (Contact Author)

Robeco Quantitative Investments ( email )

Weena 850
Rotterdam, 3011 AG
Netherlands

Lancaster University Management School

Bailrigg
Lancaster LA1 4YX
United Kingdom

HOME PAGE: http://www.lancaster.ac.uk/lums/people/harald-lohre

Martin Kolrep

Invesco ( email )

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