Given that I have fundamental data such as GDP growth rate for G10 countries .Now I want to build a currency pairs portfolio of G10 currencies vs USD .How can I translate country scores to currency pair allocations ?


It is not completely clear to me which question you are asking: is it

I have fundamental data, now how do I translate that into risk-adjusted return?

or is it

I have a model that translates into risk adjusted returns, now how do I allocate funds to each currency pair?

If you are asking the first question, you will need to provide more details (i.e. which fundamental data you have, other than GDP growth rates), in order to get any sort of answer.

If you are asking the second question, Modern portfolio theory (MPT) could probably give you good answers regarding how much to allocate to each pair, given expected return and variance.

If I may ask out of curiosity: is this a theoretical exercise or for practical application?


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