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A SQUARE

A fund that trades G10 currencies, futures and index options

Thursday, May 21, 2009
2009 performance (Share Class A) up to of 31 March 2009 is +7.73%.

A SQUARE :: 21May09 A fund that trades G10 currencies, futures and index options
Category Foreign Exchange
Faculty Chumli Hou
Expertise Foreign Exchange
Author Sona Blessing
Faculty Name
Model strategy driven contagion (historically as evidenced in Aug.’07)- manager's believe currency funds are less prone to such contagion, and studies they undertook suggest such events are less likely to happen
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[28May09] [Foreign Exchange] A currency index and a fund
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[23Apr09] [Foreign Exchange] Systematic exploitation of structural inefficiencies in currency markets
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[12Sep08] [Foreign Exchange] Currency pair mean reversion, equilibrium - exploited in a portfolio
We also have some evidence that the adjustment toward equilibrium levels tends to be non-linear. This means that currencies with larger misalignments are increasingly likely to mean-revert rapidly.

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[13Mar07] [Foreign Exchange] FX check
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