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Currency Alpha: A Valuable Addition to Global Portfolios

As the unprecedented monetary and fiscal policy stimuli around the world have pushed traditional assets' valuations to extreme levels, we show that currency markets abound with investment opportunities that are orthogonal to traditional asset classes. Systematic Currency Alpha provides appealing risk-adjusted returns and strong diversification benefits, thanks to its negative correlation to traditional asset classes and positively skewed returns, making it a valuable addition to a global asset portfolio.

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