Hedge funds, such as managed futures, typically use two different types of trading strategies: technical and macro/fundamental. In this article, we evaluate the impact of combining the two strategies, and focus on, in particular, two common foreign exchange trading strategies: momentum and carry. We find evidence that combining the strategies offers a significant improvement in risk-adjusted returns. Our analysis, which uses data spanning 20 years, highlights the potential benefits of achieving strategy-level diversification. © 2014 Macmillan Publishers Ltd.
CITATION STYLE
Olszweski, F., & Zhou, G. (2013). Strategy diversification: Combining momentum and carry strategies within a foreign exchange portfolio. Journal of Derivatives and Hedge Funds, 19(4), 311–320. https://doi.org/10.1057/jdhf.2013.16
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