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Stats › Devises et matières premières › FX momentum

Currency momentum returned 9.5% a year gross and 3.9% after the spread

Zero cost: 9.46%+9.46%Zero cost50% of quoted spread: 6.64%+6.64%50% ofquoted spread75% of quoted spread: 5.28%+5.28%75% ofquoted spreadFull quoted spread: 3.92%+3.92%Full quotedspread

Annualised return to the one-month formation, one-month holding currency momentum strategy across up to 48 currencies, January 1976 to January 2010. The authors describe the full quoted spread case as too conservative, so they treat 3.92% as a lower bound rather than the answer.

Sorting currencies on the previous month's return and holding a month returned 9.46% annualised with a Sharpe ratio of 0.95. At the full quoted spread that falls to 3.92%, because the strategy turns over more than 70% of the book every month.

9.46%Annualised return to one-month currency momentum, t = 5.31, 1976 to 2010
3.92%The same strategy at the full quoted spread, t = 2.20
0.95Sharpe ratio before costs, against 0.82 for carry on the same data
Over 70%Monthly turnover of the one-month formation portfolio

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