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Stats › Valuta's en grondstoffen › 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%negatief
GBP7.94%0.51%negatief
JPY12.00%2.73%negatief

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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Below this point there are 5 sections, 1 chart and 3 named sources, roughly 500 words of it. Every figure carries the source it came from and the date the data is from.

Je kunt elke statistiek in de bibliotheek gratis blijven bekijken. De intro en de samenvatting zijn altijd open.