Fig 4 - available via license: Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
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The value of the currency overlay component. Note: The figure shows the value of an initial $1 invested in CNH currency, with different trading strategies. Always is a CNH hedge portfolio that is always short CNH. Source: Own calculations.
Source publication
In 2015, the People's Bank of China announced a new exchange rate policy where the RMB central parity rate is determined each morning by the previous day's closing rate. Market demand and supply, and valuations of other currencies. This policy suggests an implementable investment strategy for trading the CNH. We create a forecasting model that can...
Context in source publication
Context 1
... Fifth, invest in a long-short dynamic currency overlay strategy as guided by the DCL indicator. Figure 4 illustrates the cumulative returns of the five currency portfolios. The currency hedging strategy of always being short CNH adds value to the unhedged portfolio of Figure 3 as it starts at $1 and ends the sample with a value of $1.07. ...
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