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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.

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