A ForEx Multi-Factor Investment Strategy Reactive to Distress.

      Аннотация: This work addresses investment strategies on Currency markets. One way to build up a robust strategy consists in using a parametric approach: maximizing the investor utility given different characteristics on the currencies available at the time. For such purpose, traditional elementary Carry trade strategies, Momentum strategies and Valuation strategies come in handy as characteristic signals for they exploit different stylized facts of the market. We discuss the possibility of an optimised multi-factor parametric investment strategy using these traditional strategies as building blocks. Moreover, we propose improvements to make the strategy reactive to distress across markets developing a regime-variable strategy: we define a variable to account for the "state of the world", and explain how to incorporate it to the parametric strategy. Eventually, calibration is the ultimate investor-friendly lever one needs to control his exposure to systematic risk.

Ключевые слова: Crisis, finance, Investment, Momentum, optimization, RISK, Strategy, trade, robust, carry, foreign exchange, investor