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Statistik › Valutor och råvaror › 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%negativ
GBP7.94%0.51%negativ
JPY12.00%2.73%negativ

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.

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