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Foreign Exchange Strategies Performance

Author

Listed:
  • Raúl Álvarez del Castillo Penna

    (Tecnológico de Monterrey)

  • José Antonio Núñez Mora

    (Tecnológico de Monterrey)

  • Leovardo Mata Mata

    (Tecnológico de Monterrey)

Abstract

El objetivo de esta investigación es evaluar el desempeño y la eficiencia de cuatro estrategias comunes de intercambio de divisas: Carry Trade, Momentum, Reversal y Value. Para los análisis se tiene en cuenta el costo de transacción y las cotizaciones de 52 monedas desde 1983. El enfoque es similar a Barroso y Santa Clara (2012), sin embargo como valor agregado se incluye una restricción en el apalancamiento y los retornos de la cartera permitiendo la herencia de la posición en una moneda de un período al siguiente. Para el cálculo de los retornos se propone el uso de un algoritmo genético que aunque es computacionalmente más caro que otros métodos numéricos produjo resultados consistentes. Los resultados sugieren que las estrategias cambiarias contienen información relevante para la optimización de portafolios en particular el Carry Trade y el Momentum aunque el modelo podría mejorarse si se consideran otras características como pueden ser la razón de Sharp o Sortino que incorporan el nivel de volatilidad para mejorar el desempeño del portafolio en episodios de volatilidad elevada.

Suggested Citation

  • Raúl Álvarez del Castillo Penna & José Antonio Núñez Mora & Leovardo Mata Mata, 2018. "Foreign Exchange Strategies Performance," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 13(2), pages 195-245, Abril-Jun.
    • Handle: RePEc:imx:journl:v:13:y:2018:i:2:p:195-245
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Currencies; Carry Trade; Momentum strategy; Value strategy; Transaction costs; portfolio;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General

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