External imbalance is a central variable in international economics and recent research shows it is priced in currency portfolios. But Ang et al. (2017), among others, show that with a small and time-varying cross section, tests with individual assets are preferable. We find testing with...

We test the relevance of technical and fundamental variables in forming currency portfolios. Carry, momentum and reversal all contribute to portfolio performance, whereas the real exchange rate and the current account do not. The resulting optimal portfolio outperforms the carry trade and other...

This appendix to 'Beyond the Carry Trade: Optimal Currency Portfolios' presents supplementary results not included in the paper.The paper may be found here: 'http://ssrn.com/abstract=2041460' http://ssrn.com/abstract=2041460