Asset Management

Factor investing in the currency market

Factor investing is a broadly used approach in asset management, specially for the equity market, but, can we apply this idea in order to explain currency returns? The idea at the core of factor investing is that there are different sources of risk in the market and that the exposure of the different assets to these sources of risk explain asset returns over the long term. Let’s start the post understanding what are the core concepts behind this idea, recalling some important results in mathematical finance.

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P. López