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.

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