Olivier Accominotti, David Chambers, 18 March 2014

John Maynard Keynes traded currencies using a discretionary and fundamentals-based strategy. This column shows that he underperformed rules-based carry, momentum and value strategies. The returns to these strategies in the 1920s and 1930s were time-varying and are in part explained by the contemporary limits to arbitrage. The excess returns might also represent compensation for exposure to the considerable macroeconomic volatility of the time.


CEPR Policy Research