Fri, Dec 2, 2016
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
Alternative Market Briefing

Cass Business School research finds that currency momentum strategies yield "striking" annual returns of 10%

Wednesday, May 02, 2012

Beverly Chandler, Opalesque London: A new study of currency momentum risk and returns shows profits are attractive but offer no free lunch for investors, says the co-author of the report, Professor Lucio Sarno of Cass Business School.

The study found that 'Cross-sectional strategies’ – where investors go long or short on a basket of currencies based on their past performance – yield the highest returns, even when accounting for transaction costs.

The study 'Currency Momentum Strategies’ by Lucio Sarno of Cass Business School, Lukas Menkhoff and Maik Schmeling of Leibniz Universitaet Hannover and Andreas Schrimpf from the Bank for International Settlements is due to be published in the Journal of Financial Economics. It was based on analysis of 48 currencies against the US dollar from 1976 to 2010. The authors claim that the research provides the most comprehensive analysis of momentum risk and returns in currency markets to date.

"We find large currency momentum strategies yield surprisingly high unconditional excess returns of up to 10% per a year," said Professor Sarno. "These returns are particularly striking given they persist in currency markets characterised by sophisticated investors, huge trading volumes, an absence of short-selling constraints and considerable central bank interference."

The study asks why does arbitrage not wipe out returns, given how easy it is to set up a momentum strategy? Th......................

To view our full article Click here

Today's Exclusives Today's Other Voices More Exclusives
Previous Opalesque Exclusives                                  
More Other Voices
Previous Other Voices                                               
Access Alternative Market Briefing

 



  • Top Forwarded
  • Top Tracked
  • Top Searched
  1. People - Nectar Financial hires senior investment team, Texas A&M replaces retiring foundation investment chief, Ex-Cadwalader partner Woolery makes another sudden exit, How to become a Python coder at a top hedge fund, by the co-CTO of Man AHL[more]

    Nectar Financial hires senior investment team Nectar Financial AG, a Swiss financial technology company for wealth and asset management, has announced that it has hired two key senior leaders to spearhead its digital asset management efforts. The company also announced that it has entere

  2. Activist News - Cognizant has introductory discussion with activist investor Elliott; to review letter, Starboard Value makes huge investment in Hewlett Packard, Hedge fund calls for removal of First NBC Bank CEO[more]

    Cognizant has introductory discussion with activist investor Elliott; to review letter From Indiatimes.com: Cognizant said it had an introductory discussion with Elliott Management after receiving the activist hedge fund's letter asking for a board shakeup, a buyback, a dividend and chan

  3. Opalesque Exclusive: Ireland relaxes treatment of direct lending funds[more]

    Bailey McCann, Opalesque New York: The Irish Central Bank has relaxed its treatment of direct lending funds, according to a recently released

  4. M&A - AllianzGI to acquire Sound Harbor Partners, SS&C completes acquisition of Wells Fargo's Global Fund Services business[more]

    AllianzGI to acquire Sound Harbor Partners Allianz Global Investors (AllianzGI), an active investment manager, announced that Sound Harbor Partners, a US private credit manager led by Michael Zupon and Dean Criares, have agreed to join its fast-growing Private Debt Platform. Under the te

  5. Hedge funds gain on Trump market rally, positive U.S. data[more]

    Komfie Manalo, Opalesque Asia: Hedge funds enjoyed meaningful returns in the week ending November 22, with the Lyxor Hedge Fund Index moving up 0.7% over the period (-1.6% YTD). From a broad perspective, all strategies ended the week on a positive note except for CTAs that ended flat. Event d