Mon, Sep 1, 2014
A A A
Welcome Guest
Free Trial RSS
Get FREE trial access to our award winning publications
A SQUARE

A SQUARE 19 Aug 2011

Friday, August 19, 2011
Research: Benchmarking the performance of active currency fund managers.

A SQUARE :: 19Aug11 A SQUARE 19 Aug 2011
Category Currency
Author Florian Guldner
Investing in an active currency program can provide invaluable protection against currency fluctuation. However, choosing the optimal strategy and evaluating manager skills can be challenge.


A new research paper authored by Richard M. Levich (NYU) and Momtchil T. Pojarliev (Hathersage Capital Management LLC) explains different currency trading strategies and introduces an alternative benchmarking model. The authors find that even though 25% of the currency managers outperform significantly, alpha is often overstated by investors, leading to disadvantages in terms of portfolio selection and manager compensation.

Download this research The many benefits of an A SQUARE subscription Recommend to a friend

<< A SQUARE archive sorted by date    << A SQUARE archive sorted by category

 Article link
More research related to Currency

[01Feb13] [Currency] Currency hedge funds
Research on performance and risk

Download

[19Mar09] [Currency] Trading Currencies
As the recession is not confined to the US alone, which seems to be the case, the USD will rise in value.

Download

[01Apr08] [Currency] A Global Currency Fund
Incisive understanding of commodity currency behaviour

Download

[20Feb08] [Currency] A currency linked arbitrage fund
Fund attempts to identify inefficiencies - arbitrage opportunities - linked with the trading globally, the 10 main currencies (spot, forwards)

Download

[05Dec07] [Currency] An Asian Currency Fund
Expertise in trading Asian currencies: (24.33% YTD as of 29.11) - the strategy has been run as a managed account since Feb.06

Download

[14Aug07] [Currency] Expertise on unwinding of the JPY carry trade
The fundamentals of the carry trade are to borrow in a low yielding currency and to lend in a higher yielding currency

Download

[24Jul07] [Debt Note/Currency] iPath EUR/USD Exchange Rate ETN
Issued by Barclays Bank PLC, it is a senior, unsecured, unsubordinated debt note whose return is linked to the performance of the “EUR/USD exchange rate” or “Index”

Download

[20Jun07] [Currency] DWS Forex Strategy
Fund exploits exchange-rate volatility around the world via transactions in currency forwards and options combined with long and short positions in more than 30 currencies that are balanced in size

Download

[25Apr07] [Currency] Overlay Asset Management High Frequency Program
This program is designed to extract value from the currency market micro structure where short-term opportunities generated from transaction flows can be analysed and exploited

Download
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. Study shows what resonates with investors: 'Unwavering', 'passionate' beats 'committed', 'dedicated' and more surprises[more]

    Komfie Manalo, Opalesque Asia: A new study by Pershing Square, a unit of BNY Mellon company, showed that an effective value proposition strengthens audience connections and fosters growth, yet many advisors have had little objective guidance in formulating such statements until now. In the

  2. Comment – Why you should avoid the hottest hedge fund hands, Swedroe attacks Hussman over risk management, relative value strategy[more]

    Why you should avoid the hottest hedge fund hands FromCNBC/Yahoo.com: Investors who don't have money with Pershing Square Capital Management are likely salivating at the hedge fund's industry-leading 26 percent return from January through July. But investing with Bill Ackman and other to

  3. Hedge fund assets decline in July - eVestment[more]

    Bailey McCann, Opalesque New York: Total assets in hedge funds declined in July and dropped 0.49%, marking the industry's second monthly asset decline in 2014, according to the latest asset flows data from eVestment. Despite the asset decline, total industry AUM remained above the $3 trillion

  4. AIMA makes 'the case for hedge funds'[more]

    Bailey McCann, Opalesque New York: The Alternative Investment Management Association (AIMA), the global hedge fund industry body,

  5. Managed futures' global diversification is important in next phase of economic recovery[more]

    Komfie Manalo, Opalesque Asia: The global diversification provided by managed futures may prove to be extremely valuable as the markets enter the next phase of the economic recovery, said Campbell & Company, a pioneer in absolute return invest