<?xml version="1.0" encoding="ISO-8859-1"?><article xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink" xmlns:xsi="http://www.w3.org/2001/XMLSchema-instance">
<front>
<journal-meta>
<journal-id>1665-5346</journal-id>
<journal-title><![CDATA[Revista mexicana de economía y finanzas]]></journal-title>
<abbrev-journal-title><![CDATA[Rev. mex. econ. finanz]]></abbrev-journal-title>
<issn>1665-5346</issn>
<publisher>
<publisher-name><![CDATA[Instituto Mexicano de Ejecutivos de Finanzas A.C.]]></publisher-name>
</publisher>
</journal-meta>
<article-meta>
<article-id>S1665-53462018000200195</article-id>
<article-id pub-id-type="doi">10.21919/remef.v13i2.275</article-id>
<title-group>
<article-title xml:lang="en"><![CDATA[Foreign Exchange Strategies Performance]]></article-title>
<article-title xml:lang="es"><![CDATA[Desempeño de un Conjunto de Estrategias Cambiarias]]></article-title>
</title-group>
<contrib-group>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Álvarez del Castillo Penna]]></surname>
<given-names><![CDATA[Raúl]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Núñez Mora]]></surname>
<given-names><![CDATA[José Antonio]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
<contrib contrib-type="author">
<name>
<surname><![CDATA[Mata Mata]]></surname>
<given-names><![CDATA[Leovardo]]></given-names>
</name>
<xref ref-type="aff" rid="Aff"/>
</contrib>
</contrib-group>
<aff id="Af1">
<institution><![CDATA[,Tecnológico de Monterrey EGADE Business School ]]></institution>
<addr-line><![CDATA[ ]]></addr-line>
<country>Mexico</country>
</aff>
<pub-date pub-type="pub">
<day>00</day>
<month>06</month>
<year>2018</year>
</pub-date>
<pub-date pub-type="epub">
<day>00</day>
<month>06</month>
<year>2018</year>
</pub-date>
<volume>13</volume>
<numero>2</numero>
<fpage>195</fpage>
<lpage>245</lpage>
<copyright-statement/>
<copyright-year/>
<self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_arttext&amp;pid=S1665-53462018000200195&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_abstract&amp;pid=S1665-53462018000200195&amp;lng=en&amp;nrm=iso"></self-uri><self-uri xlink:href="http://www.scielo.org.mx/scielo.php?script=sci_pdf&amp;pid=S1665-53462018000200195&amp;lng=en&amp;nrm=iso"></self-uri><abstract abstract-type="short" xml:lang="en"><p><![CDATA[The objective of this research is to evaluate the performance and the efficiency of three common foreign exchange strategies: Carry Trade, the Momentum, the reversal and the Value strategy. The analyses take into account the transaction cost and the quotes of 52 currencies since 1983. The approach is similar to the Barroso and Santa Clara (2012), however as added value it includes a restriction on the leverage and returns of the portfolio allowing the inheritance of the position in a currency for the previous period. Although the use of the genetic algorithm is computationally more expensive than other numerical methods, it produces consistent results. The results suggest that foreign exchange strategies contain information relevant to the optimization of portfolios, in particular the Carry Trade and the Momentum. However, the performance of the portfolio in high volatility periods could be improved using other characteristics that incorporate the volatility such as the Sharp or the Sortino ratios.]]></p></abstract>
<abstract abstract-type="short" xml:lang="es"><p><![CDATA[Resumen. El objetivo de esta investigación es evaluar el desempeño y la eficiencia de cuatro estrategias comunes de intercambio de divisas: Carry Trade, Momentum, Reversal y Value. Para los análisis se tiene en cuenta el costo de transacción y las cotizaciones de 52 monedas desde 1983. El enfoque es similar a Barroso y Santa Clara (2012), sin embargo como valor agregado se incluye una restricción en el apalancamiento y los retornos de la cartera permitiendo la herencia de la posición en una moneda de un período al siguiente. Para el cálculo de los retornos se propone el uso de un algoritmo genético que aunque es computacionalmente más caro que otros métodos numéricos produjo resultados consistentes. Los resultados sugieren que las estrategias cambiarias contienen información relevante para la optimización de portafolios en particular el Carry Trade y el Momentum aunque el modelo podría mejorarse si se consideran otras características como pueden ser la razón de Sharp o Sortino que incorporan el nivel de volatilidad para mejorar el desempeño del portafolio en episodios de volatilidad elevada.]]></p></abstract>
<kwd-group>
<kwd lng="en"><![CDATA[G11]]></kwd>
<kwd lng="en"><![CDATA[F31]]></kwd>
<kwd lng="en"><![CDATA[C14]]></kwd>
<kwd lng="en"><![CDATA[Currencies]]></kwd>
<kwd lng="en"><![CDATA[Carry Trade]]></kwd>
<kwd lng="en"><![CDATA[Momentum strategy]]></kwd>
<kwd lng="en"><![CDATA[Value strategy]]></kwd>
<kwd lng="en"><![CDATA[Transaction costs,portfolio]]></kwd>
<kwd lng="es"><![CDATA[G11]]></kwd>
<kwd lng="es"><![CDATA[F31]]></kwd>
<kwd lng="es"><![CDATA[C14]]></kwd>
<kwd lng="es"><![CDATA[monedas]]></kwd>
<kwd lng="es"><![CDATA[Carry Trade]]></kwd>
<kwd lng="es"><![CDATA[Momentum strategy]]></kwd>
<kwd lng="es"><![CDATA[Value strategy]]></kwd>
<kwd lng="es"><![CDATA[Costos de transacción]]></kwd>
<kwd lng="es"><![CDATA[portafolio]]></kwd>
</kwd-group>
</article-meta>
</front><back>
<ref-list>
<ref id="B1">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Asness]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Moskowitz]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Pedersen]]></surname>
<given-names><![CDATA[L]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Value and momentum everywhere]]></article-title>
<source><![CDATA[Journal of Finance]]></source>
<year>2013</year>
<volume>68</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>929-85</page-range></nlm-citation>
</ref>
<ref id="B2">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Bhansali]]></surname>
<given-names><![CDATA[V]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Volatility and the carry trade]]></article-title>
<source><![CDATA[The Journal of Fixed Income]]></source>
<year>2007</year>
<volume>17</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>72-84</page-range></nlm-citation>
</ref>
<ref id="B3">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Barroso]]></surname>
<given-names><![CDATA[P.]]></given-names>
</name>
<name>
<surname><![CDATA[Santa-Clara]]></surname>
<given-names><![CDATA[P]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Beyond the carry trade: Optimal currency portfolios]]></article-title>
<source><![CDATA[Working paper]]></source>
<year>2013</year>
</nlm-citation>
</ref>
<ref id="B4">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Branson]]></surname>
<given-names><![CDATA[W]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The minimum covered interest differential needed for international arbitrage activity]]></article-title>
<source><![CDATA[Journal of Political Economy]]></source>
<year>1969</year>
<volume>77</volume>
<numero>6</numero>
<issue>6</issue>
<page-range>1028-35</page-range></nlm-citation>
</ref>
<ref id="B5">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Burnside]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Eichenbaum]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Rebelo]]></surname>
<given-names><![CDATA[S]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Carry trade: The gains of diversification]]></article-title>
<source><![CDATA[Journal of the European Economic Association]]></source>
<year>2008</year>
<volume>6</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>581-8</page-range></nlm-citation>
</ref>
<ref id="B6">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Burnside]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Eichenbaum]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Kleshchelski]]></surname>
<given-names><![CDATA[I.]]></given-names>
</name>
<name>
<surname><![CDATA[Rebelo]]></surname>
<given-names><![CDATA[S]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Do peso problems explain the returns to the carry trade?]]></article-title>
<source><![CDATA[Review of Financial Studies]]></source>
<year>2011</year>
<volume>24</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>853-91</page-range></nlm-citation>
</ref>
<ref id="B7">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Burnside]]></surname>
<given-names><![CDATA[C.]]></given-names>
</name>
<name>
<surname><![CDATA[Eichenbaum]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Rebelo]]></surname>
</name>
</person-group>
<source><![CDATA[S. Carry trade and momentum in currency markets]]></source>
<year>2011</year>
<publisher-name><![CDATA[National Bureau of Economic Research]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B8">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Castillo]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Santaella]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Currency carry trades in Latin America]]></article-title>
<source><![CDATA[BIS papers]]></source>
<year>2015</year>
</nlm-citation>
</ref>
<ref id="B9">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Fama]]></surname>
<given-names><![CDATA[E]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Forward and spot exchange rates]]></article-title>
<source><![CDATA[Journal of Monetary Economics]]></source>
<year>1984</year>
<volume>14</volume>
<page-range>319-38</page-range></nlm-citation>
</ref>
<ref id="B10">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[James]]></surname>
<given-names><![CDATA[J.]]></given-names>
</name>
<name>
<surname><![CDATA[Marsh]]></surname>
<given-names><![CDATA[I.]]></given-names>
</name>
<name>
<surname><![CDATA[Sarno]]></surname>
<given-names><![CDATA[L]]></given-names>
</name>
</person-group>
<source><![CDATA[Handbook of Exchange Rates]]></source>
<year>2012</year>
<volume>2</volume>
<publisher-name><![CDATA[Wiley]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B11">
<nlm-citation citation-type="book">
<source><![CDATA[High-frequency trading in the foreign exchange market.]]></source>
<year>2011</year>
<publisher-name><![CDATA[Bank of International Settlements, Monetary and Economic Department]]></publisher-name>
</nlm-citation>
</ref>
<ref id="B12">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Hodrick]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Prescott]]></surname>
<given-names><![CDATA[E]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Postwar US business cycles: an empirical investigation]]></article-title>
<source><![CDATA[Journal of Money, credit, and Banking]]></source>
<year>1997</year>
<volume>1</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>1-16</page-range></nlm-citation>
</ref>
<ref id="B13">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Kroencke]]></surname>
<given-names><![CDATA[T.]]></given-names>
</name>
<name>
<surname><![CDATA[Schindler]]></surname>
<given-names><![CDATA[F.]]></given-names>
</name>
<name>
<surname><![CDATA[Schrimpf]]></surname>
<given-names><![CDATA[A]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[International diversification benefits with foreign exchange investment styles]]></article-title>
<source><![CDATA[CREATES Research Paper]]></source>
<year>2011</year>
</nlm-citation>
</ref>
<ref id="B14">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Lustig]]></surname>
<given-names><![CDATA[H.]]></given-names>
</name>
<name>
<surname><![CDATA[Verdelhan]]></surname>
<given-names><![CDATA[A]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[The cross-section of currency risk premia and us consumption growth risk]]></article-title>
<source><![CDATA[American Economic Review]]></source>
<year>2007</year>
<volume>97</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>98-117</page-range></nlm-citation>
</ref>
<ref id="B15">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Lustig]]></surname>
<given-names><![CDATA[H.]]></given-names>
</name>
<name>
<surname><![CDATA[Roussanov]]></surname>
<given-names><![CDATA[N.]]></given-names>
</name>
<name>
<surname><![CDATA[Verdelhan]]></surname>
<given-names><![CDATA[A]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Common risk factors in currency markets]]></article-title>
<source><![CDATA[Review of Financial Studies]]></source>
<year>2011</year>
<volume>24</volume>
<numero>11</numero>
<issue>11</issue>
<page-range>3731-77</page-range></nlm-citation>
</ref>
<ref id="B16">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Meese]]></surname>
<given-names><![CDATA[R.]]></given-names>
</name>
<name>
<surname><![CDATA[Rogoff]]></surname>
<given-names><![CDATA[K]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Empirical exchange rate models of the seventies: do they fit out of sample?]]></article-title>
<source><![CDATA[Journal of international economics]]></source>
<year>1983</year>
<volume>14</volume>
<numero>1</numero>
<issue>1</issue>
<page-range>3-24</page-range></nlm-citation>
</ref>
<ref id="B17">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Menkhoff]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
<name>
<surname><![CDATA[Sarno]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
<name>
<surname><![CDATA[Schmeling]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Schrimpf]]></surname>
<given-names><![CDATA[A]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Carry trades and global foreign exchange volatility]]></article-title>
<source><![CDATA[Journal of Finance]]></source>
<year>2012</year>
<volume>67</volume>
<numero>2</numero>
<issue>2</issue>
<page-range>681-718</page-range></nlm-citation>
</ref>
<ref id="B18">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Menkhoff]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
<name>
<surname><![CDATA[Sarno]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
<name>
<surname><![CDATA[Schmeling]]></surname>
<given-names><![CDATA[M.]]></given-names>
</name>
<name>
<surname><![CDATA[Schrimpf]]></surname>
<given-names><![CDATA[A]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Currency momentum strategies]]></article-title>
<source><![CDATA[Journal of Financial Economics]]></source>
<year>2012</year>
<volume>106</volume>
<numero>3</numero>
<issue>3</issue>
<page-range>660-84</page-range></nlm-citation>
</ref>
<ref id="B19">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Patton]]></surname>
<given-names><![CDATA[A.]]></given-names>
</name>
<name>
<surname><![CDATA[Timmermann]]></surname>
<given-names><![CDATA[A]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Portfolio sorts and tests of cross-sectional patterns in expected returns]]></article-title>
<source><![CDATA[Research Paper]]></source>
<year>2008</year>
</nlm-citation>
</ref>
<ref id="B20">
<nlm-citation citation-type="journal">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Rafferty]]></surname>
<given-names><![CDATA[F]]></given-names>
</name>
</person-group>
<article-title xml:lang=""><![CDATA[Currency returns, skewness and crash risk]]></article-title>
<source><![CDATA[Skewness and Crash Risk]]></source>
<year>2012</year>
</nlm-citation>
</ref>
<ref id="B21">
<nlm-citation citation-type="book">
<person-group person-group-type="author">
<name>
<surname><![CDATA[Sarno]]></surname>
<given-names><![CDATA[L.]]></given-names>
</name>
<name>
<surname><![CDATA[Taylor]]></surname>
<given-names><![CDATA[M]]></given-names>
</name>
</person-group>
<source><![CDATA[The economics of exchange rates]]></source>
<year>2002</year>
<publisher-name><![CDATA[Cambridge University Press]]></publisher-name>
</nlm-citation>
</ref>
</ref-list>
</back>
</article>
