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Stats › Devises et matières premières › FX fix and costs

Every FX fix effect turns negative once you pay the full spread

Tokyo reversal portfolioZero spreadHalf spreadFull spread
EUR10.44%2.65%négatif
GBP7.94%0.51%négatif
JPY12.00%2.73%négatif

Annualised returns, January 1999 to December 2019. At the full quoted spread the authors report returns of roughly minus 5% to minus 7%. Sharpe ratios at half spread run from 0.12 to 1.03.

Currencies fall into each daily fix and rebound after, worth about 2.5 basis points a fix across nine pairs over twenty years. At half the quoted spread most of it is gone. At the full quoted spread the trade loses 5% to 7% a year.

2.5 bpTypical size of the reversal around each fix, per day
10.44%Annualised Tokyo reversal portfolio in EUR at zero spread
2.65%The same portfolio at half the quoted spread
t = 1.62Post-London reversal in 2014 to 2019: no longer significant

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