JPMorgan rolls out EM carry-to-risk model
The JP Morgan Emerging Markets Carry-to-Risk Model provides an approach to analyse expected risk-adjusted returns on currency positions. The model effectively generates signals from a projected Sharpe ratio, proxied by carry divided by volatility, for when to enter and exit trades.
"This approach allows investors increased flexibility in trading different emerging markets currencies individually and in different portfolios, to help diversify risk," said Osman Wahid, emerging markets strategist at
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