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It is very difficult to outperform the "random walk without drift" benchmark. The forward rate is not a particularly good predictor as it is often biased. Nevertheless some economists claim it is possible. Here is a literature review (Rossi 2013): http://crei.cat/people/rossi/Rossi_ExchangeRatePredictability_Feb_13.pdf From reading this it would seem that ...


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There is a cost for the roll because there is a value to the extended maturity that you are picking up. There will be dividends and a cost of carry for the hedger who is selling it. An index arb desk will look at the roll and decide to bid or offer depending on where they can carry the underlying basket. That dictates the prices of the rolls. Right now ...



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