The currency market features a small cross-section, and conditional expected returns can be characterized by few signals: interest differential, trend, and mean reversion. We exploit these properties to construct the ex ante mean-variance efficient portfolio of individual currencies. The portfolio is updated in real time and prices all prominent currency trading strategies, conditionally and unconditionally. The fraction of risk in these assets that does not affect their risk premiums is at least 85%. Extant explanations of carry strategies based on intermediary capital or global volatility are related to these unpriced components, while consumption growth is related to the priced component of returns.

中文翻译：

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定价货币风险

货币市场的横截面很小，条件预期收益可以用很少的信号来表征：利差、趋势和均值回归。我们利用这些属性来构建单个货币的事前均值方差有效投资组合。投资组合实时更新，并有条件和无条件地为所有主要货币交易策略定价。这些资产中不影响其风险溢价的风险比例至少为 85%。基于中介资本或全球波动性的利差策略的现存解释与这些未定价的部分有关，而消费增长与回报的定价部分有关。