The Economic Value of Fundamental and Technical Information in Emerging Currency Markets
A 2007 paper by de Zwart and co-authors on macro signals and regime strategies in currencies, on a 1995–2007 sample: the abstract mentions profits and leaves out a benchmark, an out-of-sample test, transaction costs, multiple testing and the size of the universe.
“Using a sample of 23 emerging markets with a floating exchange rate regime over the period 1995-2007, we document that both types of information can be exploited to implement profitable trading strategies.”
AssetCurrenciescurrency pairs
StrategyMacro signals
GeographyEmerging markets
Sample window1995–2007
Also stated: Profit, Price and volume, Fundamentals, Macro
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodMacro signals and regime strategies by year
FamilyMacro signals and regime strategies49Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 953
Authorsde Zwart et al.3
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| US Interest Rate Surprises and Currency Returns by Antolin-Diaz et al. | 2023 | ||||
| Getting the Most out of Macroeconomic Information for Predicting Stock Returns by Çakmaklı and van Dijk | 2016 | ||||
| Volatility Managed Portfolios by Moreira and Muir | 2016 | ||||
| Getting the Most Out of Macroeconomic Information for Predicting Stock Returns and Volatility by Çakmaklı and van Dijk | 2010 | ||||
| Adaptive Portfolio Positioning under Market Volatility: A Forward-Looking Regime-Switching Approach Using the VIX Term Structure by Liu | 2026 |