We’re finishing up a fun little paper internally on currencies and just saw this paper from the folks at BIS this weekend (via Alea): FX Strategies in Periods of Distress. We’ve mentioned before one of the reasons for the negative carry skew is the valuation of the basket at times…
Also there is a new paper out from our buddies Wes and Jack at Turnkey Analyst on which valuation metric performs the best historically?
