By 
Didier Darcet
23 May 2022

Euro, Dollar, Yen, or Yuan?

Currency management is often the side-lined theme of portfolio construction. Portfolio managers tend to focus first on risk assets’ allocations, then on their currency exposures. And the last one of the climbing team is undoubtedly dragged by the first rope leaders.

The foreign exchange market, however, can provide hedges to cautious investors as well as easy leverage and high returns (uncorrelated to equities) for risk-takers.

Here is a simple quantitative solution to arbitrate the four main currencies of the world: the dollar, the euro, the yen, and the yuan.


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