Melvin’s research in investments and international finance focuses on practical issues facing global investors. He has published research in topics including exchange rates, currency investing, and international equity markets. His current research is focused on currency investment strategies and market microstructure issues like trading and transaction costs.
Melvin’s most recent teaching position was at the UC Berkeley Haas School of Business. He has had past teaching positions at UCLA, UC San Diego, Arizona State University and Northwestern University. In addition to his academic achievements, Melvin is an accomplished industry researcher. Before joining the Rady School, he was managing director and senior research advisor in multi-asset strategies at BlackRock. Prior to that he was head of currency and fixed income research in the Global Market Strategies Group at BlackRock and Barclays Global Investors.
Melvin is in the Haas School “Club 6” for class evaluations with outstanding ratings and also received the Outstanding Teacher award at the Haas School. Melvin was also a Fulbright Senior Scholar in Germany.
Melvin earned a Ph.D. in economics from UCLA.
Areas of Expertise (5)
International Finance and Monetary Economics
International Equity Markets
Outstanding Teacher Award
Haas School of Business, U.C. Berkeley
Fulbright Senior Scholar
University of California, Los Angeles: Ph.D., Economics
Media Appearances (3)
London forex traders say chats did not break law as U.S. trial closes
Jurors also heard from University of California-San Diego professor Michael Melvin, a defense witness, who said trading data showed the defendants had not manipulated rates...
PEOPLE ‘You can’t game the fix,’ jurors hear in FX Cartel trial
Melvin says if the three traders wanted to game the fix, they couldn’t have chosen a worse time because the market is too liquid then...
In Global FX Market, Three Traders Can't Fix Prices, Jury Told
"FX is the biggest market in the world in terms of trading volume," Michael Melvin, a professor at the Rady School of Management at the University of California San Diego and a former managing director at BlackRock Inc., said in testimony that lasted the full day...
Michael Melvin, Duncan Shand
We analyze the worst currency carry loss episodes in recent decades, including causes, attribution by currency, timing, and the duration of carry drawdowns. To explore the determinants of the length of carry losses, a model of carry drawdown duration is estimated. We find evidence that drawdown duration varies systematically with expected return from the carry trade at the onset of the drawdown, financial stress indicators and the magnitude of deviations from a fundamental value portfolio of the carry-related portfolio holdings. In an out-of-sample test, we show that these determinants can be used to control carry-related losses and improve investment performance.
Michael Melvin, John Prins
We test the hypothesis that hedging by international equity portfolio managers affects exchange rates—the “hedging channel of exchange rate adjustment”. A key institutional feature of the foreign exchange market, the “London 4 p.m. fix”, is used to identify times when hedging trades concentrate. The direction of hedging trades is identified by past equity returns. The findings show that equity market appreciation over the month can be used to predict currency depreciation before the end-of-month fix, providing evidence that hedging activity plays a role in exchange rate determination.
Michael Melvin, Duncan Shand
There are no established benchmarks for evaluating currency investment manager performance. Some analysts have suggested that known investing styles like momentum, purchasing power parity, and carry serve as benchmarks. Challenges for this approach include: there is no market portfolio; there are many alternative generic factor constructions; different constructions of the same factor may have low correlations; the 3 factors may not provide diversification; and there is no “buy and hold” in the FX market. An evaluation of professional currency managers’ returns indicates that they are often generated independently from the generic style factors. Skill in timing is what investors should pay for and some managers demonstrate superior skill in timing the factors. Managers are also skilled at minimizing drawdowns relative to the generic factors. The use of generic style factors may be a worst case scenario instead of returns to which an FX investor may aspire.