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Quantitative Finance · Glosarium

Apa itu Rebalancing-flow estimate?

Definition 15.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Bab 15 — FX Flow Strategies

A rebalancing-flow estimate is a forecast of the currency that hedged international investors must buy or sell at a rebalancing date, from the month’s asset returns, estimates of their holdings, and their hedge ratios.

A month-end hedge-flow trade in public data: sell a six-currency dollar index over the month’s last k days when the S&P 500 has risen since the month began, buy it when the S&P has fallen; mean return a month, January 1999 to September 2026 (332 months). From FRED’s H.10 rates and Cboe’s S&P 500 history; derived statistics only. Data: s2_fetch_monthend.
Figure 15.1. A month-end hedge-flow trade in public data: sell a six-currency dollar index over the month’s last kk days when the S&P 500 has risen since the month began, buy it when the S&P has fallen; mean return a month, January 1999 to September 2026 (332 months). From FRED’s H.10 rates and Cboe’s S&P 500 history; derived statistics only. Data: s2_fetch_monthend.
The synthetic month-end flow trade by fifth of the estimated flow’s size: the push the estimate implies and the trade’s mean return after costs, 360 months. Data: s2_fxflows.results.
Figure 15.2. The synthetic month-end flow trade by fifth of the estimated flow’s size: the push the estimate implies and the trade’s mean return after costs, 360 months. Data: s2_fxflows.results.
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