Qpqc Risk Premia Fx

The three-gate gauntlet · genuine only if it clears all three and survives adversarial refutation

Gate 1

Survivorship-free

n/a

not a factor universe

Gate 2

Placebo ≥ P95

not run

Eliminated here

Gate 3

Cost-aware net

RF -0.55

net-negative after costs

Failed

Worst 12-month leg (RF)-1.00

−1.00 floor0

Every strategy here — winners included — loses in its worst 12 months. Depth is honest context, not the verdict.

Rejected at the cost gate — the net edge turns negative once modelled costs are applied.

This is a currency risk-premia composite that combines carry, value, and momentum signals across a small basket of forex pairs, following the QuantPedia write-up.

What we found

In our test the 4-pair FX risk-premia portfolio was net-negative as a whole. Only a single pair, USDJPY, was positive in isolation, which makes the apparent result a one-pair cherry-pick rather than a genuine cross-pair premium. As a portfolio the strategy failed, and its risk-adjusted RF (-0.55) and worst-year RF (-1.0) were both negative. We are reporting it as failed, not as a tradeable strategy.

How we tested it

2005–2026 test windowmodelled liquidity-aware costssurvivorship na

G10/EM currency spot data. Realistic modelled costs.
Placebo / robustness test: real result vs random baskets or shuffled signals (real vs the 95th percentile of random)

Source: Risk premia in forex markets (QuantPedia; carry/value/momentum FX composite)
Read the paper ↗

← The Academic Audit — all 54 studies

Research, not investment advice. “Validated” factor-legs are market-neutral diversifying building blocks with a losing worst year — none is a standalone tradeable strategy. Metrics are cost-aware and modelled (not live fills); the 2005–2026 test window is out-of-sample versus the source paper. Dollar figures are not returns and are omitted by design.