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Factor Investing in Currency Markets: Does It Make Sense?

Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli and Jiali Xu
The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 141-155; DOI: https://doi.org/10.3905/jpm.2019.1.116
Elisa Baku
is a PhD candidate in economics at the University of Paris 1 in Paris, France
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Roberta Fortes
is a PhD candidate in economics at the University of Paris 1 in Paris, France
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Karine Hervé
is a senior economist at Amundi in Paris, France
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Edmond Lezmi
is head of multiasset quantitative research at Amundi in Paris, France
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Hassan Malongo
is a derivatives and volatility portfolio manager at Amundi in Paris, France
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Thierry Roncalli
is head of quantitative research at Amundi in Paris, France
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Jiali Xu
is a quantitative research analyst at Amundi in Paris, France
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Article Information

vol. 46 no. 2 141-155
DOI 
https://doi.org/10.3905/jpm.2019.1.116

Published By 
Pageant Media Ltd
Print ISSN 
0095-4918
Online ISSN 
2168-8656
History 
  • Published online January 2, 2020.

Article Versions

  • Latest version (October 31, 2019 - 21:56).
  • You are viewing the most recent version of this article.
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© 2019 Pageant Media Ltd

Author Information

  1. Elisa Baku
    1. is a PhD candidate in economics at the University of Paris 1 in Paris, France. (elisa.baku{at}etu.univ-paris1.fr)
  2. Roberta Fortes
    1. is a PhD candidate in economics at the University of Paris 1 in Paris, France. (roberta.a.fortes{at}gmail.com)
  3. Karine Hervé
    1. is a senior economist at Amundi in Paris, France. (karine.herve{at}amundi.com)
  4. Edmond Lezmi
    1. is head of multiasset quantitative research at Amundi in Paris, France. (edmond.lezmi{at}amundi.com)
  5. Hassan Malongo
    1. is a derivatives and volatility portfolio manager at Amundi in Paris, France. (hassan.malongo{at}amundi.com)
  6. Thierry Roncalli
    1. is head of quantitative research at Amundi in Paris, France. (thierry.roncalli{at}amundi.com)
  7. Jiali Xu
    1. is a quantitative research analyst at Amundi in Paris, France. (jiali.xu{at}amundi.com)
  1. To order reprints of this article, please contact David Rowe at d.rowe{at}pageantmedia.com or 646-891-2157.
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Quantitative Special Issue 2020
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Factor Investing in Currency Markets: Does It Make Sense?
Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli, Jiali Xu
The Journal of Portfolio Management Dec 2019, 46 (2) 141-155; DOI: 10.3905/jpm.2019.1.116

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Factor Investing in Currency Markets: Does It Make Sense?
Elisa Baku, Roberta Fortes, Karine Hervé, Edmond Lezmi, Hassan Malongo, Thierry Roncalli, Jiali Xu
The Journal of Portfolio Management Dec 2019, 46 (2) 141-155; DOI: 10.3905/jpm.2019.1.116
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  • Article
    • Abstract
    • CURRENCY MARKET RISK FACTORS
    • FACTOR ANALYSIS OF FOREIGN EXCHANGE RATES
    • CONCLUSION
    • ACKNOWLEDGMENTS
    • ADDITIONAL READING
    • ENDNOTES
    • REFERENCES
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