---
title: Currency Portfolios
url: https://www.ml-quant.com/papers/ssrn/4801233/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 4801233
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801233
featured: 2024-04-24
citations: unknown
topic: Portfolio & Allocation
---


# Currency Portfolios

The research suggests that high foreign exchange (FX) ambiguity results in high currency carry returns, indicating that FX ambiguity encompasses aspects of uncertainty not covered by FX volatility.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4801233
- Identifier: SSRN 4801233
- Released: 2024-03-26
- First featured: Quant Letter No. 46 (2024-04-24): https://www.ml-quant.com/issues/2024-04-24/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Portfolio & Allocation

## Related

- [Currency Portfolios and Global Foreign Exchange Ambiguity](https://www.ml-quant.com/papers/ssrn/4742236/): The study examines the effect of global foreign exchange ambiguity on currency portfolios, finding that high ambiguity leads to high currency carry returns and uncovers uncertainty not captured by FX volatility.
- [Future Value of Mutual Fund Investments](https://www.ml-quant.com/papers/ssrn/4829431/): The paper suggests that mutual fund investment forecasts are best presented in currency terms and that the precision of past and predicted values can help analyze sampling errors.
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- [Enhancing Returns with Information in Currency Momentum Portfolios](https://www.ml-quant.com/papers/ssrn/4709606/): The study recommends conditional currency momentum strategies that use market data to boost the performance of currency momentum portfolios, which have been unprofitable since the financial crisis.
- [Global Market Portfolio](https://www.ml-quant.com/papers/ssrn/4937996/): A study of a $150 trillion global market portfolio from 1970-2022 shows it is more stable than equities, despite a similar Sharpe ratio, with risks appearing larger in non-U.S. currencies.
- [Bond Portfolios: Markets and Benchmarks](https://www.ml-quant.com/papers/repec/wsi-wschap-9789811272578-0002/): Markets and Benchmarks: Global bond portfolios invest in various markets, considering risks such as currency, liquidity, political, and macroeconomic, with a focus on either developed or emerging markets.