Is Mean-Reversion In Real Exchange Rates A Smart Value Strategy For FX?

Is mean-reversion in real exchange rates an avalue strategy for FX?

Value investing, as defined by the creators of the style, Benjamin Graham and Warren Buffett, is a long term equity investment strategy based on a rigorous analysis of a company’s prospects and equity valuation.

[klarman]

And as value sits at one end of the investing spectrum, foreign exchange sits at the opposite end. Currency trading is a market dominated by high-speed trading, where fundamental analysis usually gives way to market sentiment and trying to predict a currency’s long term underlying value is all but impossible.

• Just How Did Walter Schloss Achieve A 21.3% CAGR From 1956 To 1984

However, according to a new report from Deutsche Bank, using a...