Download PDF Introduction Commodity-exporting currencies are structurally linked to the prices of their primary exports through the terms-of-trade channel. While this relationship holds in the long run, short-term dislocations frequently emerge due to monetary policy shifts, capital flows, and risk sentiment. This article develops a systematic cross-asset mean-reversion strategy that Read more…
Download PDF Introduction PCA (principal component analysis) allows you to explain a system’s total variance through a number of orthogonal components, thus, independent between each other. The main PCs account for most of the variance of the system and represent the main factors that influence variability. In a trading environment, Read more…
Download PDF Introduction The price-to-earning ratio, known as P/E ratio, is one of the most basic valuation measures. It measures how expensive a company is relative to the earnings per share (EPS). In simple words, it measures how much an investor is paying for a stock compared to each dollar of Read more…
After weeks of firm bull sentiment, major equity markets (especially European ones) have experienced a fast correction that, although small compared to the incredible year-to-date performance, has started to disturb the overall view of investors. Such a movement has coincided with a rebound on the EUR/USD, which postponed the breakout Read more…