Momtchil Pojarliev

Fischer Francis Trees & Watts, Inc.

Senior Portfolio Manager

200 Park Avenue, 11th Floor

New York, NY 10166

United States

  • Fischer Francis Trees & Watts, Inc.

SCHOLARLY PAPERS

18

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CITATIONS
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52

Scholarly Papers (18)

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1.

A New Look at Currency Investing

CFA Institute Research Foundation Monograph
Number of pages: 106 Posted: 01 Mar 2015
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 968 (22,068)
Citation 1

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currency investing, carry trade, trend-following, value strategies

2.

Do Professional Currency Managers Beat the Benchmark?

Downloads 921 ( 23,720)
Citation 24

Do Professional Currency Managers Beat the Benchmark?

Number of pages: 37 Posted: 21 Dec 2007
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 773 (29,921)
Citation 24

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Foreign Exchange, Hedge Funds, Style Investing

Do Professional Currency Managers Beat the Benchmark?

NYU Working Paper No. FIN-07-023
Number of pages: 37 Posted: 03 Nov 2008
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and affiliation not provided to SSRN
Downloads 88 (283,941)
Citation 24

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Do Professional Currency Managers Beat the Benchmark?

NBER Working Paper No. w13714
Number of pages: 38 Posted: 31 Dec 2007 Last Revised: 21 Feb 2008
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 60 (353,667)
Citation 24

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Do Professional Currency Managers Beat the Benchmark?

Financial Analysts Journal, Vol. 64, No. 5, 2008
Posted: 24 Sep 2008
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance

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Alternative Investments, Hedge Fund Strategies, Portfolio Management, Hedge Fund Strategies, Performance Measurement and Evaluation, Performance Measurement

3.

Detecting Crowded Trades in Currency Funds

Downloads 803 ( 28,846)
Citation 5

Detecting Crowded Trades in Currency Funds

Number of pages: 39 Posted: 14 Dec 2009 Last Revised: 29 Aug 2010
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 642 (38,479)
Citation 5

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Foreign Exchange, Hedge Funds, Style Investing, Crowded Trades

Detecting Crowded Trades in Currency Funds

NYU Working Paper No. 2451/29545
Number of pages: 37 Posted: 08 Feb 2010
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 135 (208,802)
Citation 5

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Detecting Crowded Trades in Currency Funds

NBER Working Paper No. w15698
Number of pages: 38 Posted: 01 Feb 2010
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 26 (490,486)
Citation 5

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Detecting Crowded Trades in Currency Funds

Financial Analysts Journal, Vol. 67, No. 1, 2011
Posted: 23 Jan 2011
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance

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Alternative Investments, Hedge Funds, Economics, Currency Exchange Rates, Foreign Exchange Market, Portfolio Management, Alternative Investment Portfolio Management Strategies

4.

The Impact of Currency Exposure on Institutional Investment Performance: The Good, the Bad, and the Ugly

Number of pages: 51 Posted: 16 Jan 2014
Momtchil Pojarliev, Richard M. Levich and Ross M. Kasarda
Fischer Francis Trees & Watts, Inc., New York University (NYU) - Department of Finance and Virginia Retirement System
Downloads 536 (49,444)

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Foreign Exchange, Portfolio Construction, Alpha Generation, Risk Budgeting

5.

Value at Risk Estimation for Stock Indices Using the Basle Committee Proposal from 1995

University of Basel Working Paper No. 00-07
Number of pages: 25 Posted: 13 Sep 2001
Momtchil Pojarliev and Wolfgang Polasek
Fischer Francis Trees & Watts, Inc. and University of Basel
Downloads 440 (63,331)

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value at risk, volatility models, Christoffersen tests, Basle Committee.

6.

Active Currency Management Part II: Is There Skill or Alpha in Currency Investing?

Downloads 332 ( 88,116)
Citation 2

Active Currency Management Part II: Is There Skill or Alpha in Currency Investing?

NYU Working Paper No. FIN-11-002
Number of pages: 47 Posted: 01 Aug 2011
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 274 (108,050)
Citation 2

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Foreign Exchange, Hedge Funds, Manager Selection

Is There Skill or Alpha in Currency Investing?

NYU Working Paper No. 2451/29936
Number of pages: 47 Posted: 26 Jun 2013
Richard M. Levich and Momtchil Pojarliev
New York University (NYU) - Department of Finance and Fischer Francis Trees & Watts, Inc.
Downloads 58 (359,805)
Citation 2

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7.

Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers

Downloads 276 (107,729)
Citation 16

Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers

Number of pages: 47 Posted: 19 Sep 2008
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 155 (186,272)
Citation 16

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Foreign Exchange, Hedge Funds, Style Investing

Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers

NYU Working Paper No. FIN-08-005
Number of pages: 47 Posted: 09 Mar 2009
Richard M. Levich and Momtchil Pojarliev
New York University (NYU) - Department of Finance and Fischer Francis Trees & Watts, Inc.
Downloads 104 (254,127)
Citation 16

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Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers

NBER Working Paper No. w14355
Number of pages: 48 Posted: 23 Sep 2008 Last Revised: 23 Sep 2010
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 17 (546,209)
Citation 16

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8.

Is There Skill or Alpha in Currency Investing?

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 47 Posted: 19 Sep 2011 Last Revised: 21 Sep 2011
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 237 (126,034)
Citation 1

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Foreign Exchange, Hedge Funds, Manager Selection

9.

Hunting for Alpha Hunters in the Currency Jungle

NYU Working Paper No. 2451/31552
Number of pages: 11 Posted: 31 May 2012
Richard M. Levich and Momtchil Pojarliev
New York University (NYU) - Department of Finance and Fischer Francis Trees & Watts, Inc.
Downloads 170 (171,920)

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10.

A New Look at Currency Investing (A Summary)

CFA Institute Research Foundation
Number of pages: 4 Posted: 29 Mar 2015
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 126 (219,740)
Citation 1

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Currency, FX, carry trade, trend following, beta grazers, volatility, alpha generator

11.

Evaluating Absolute Return Managers

Number of pages: 17 Posted: 01 Oct 2013
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 95 (268,254)

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Hedge Funds, Alpha and Beta Separation, Style Investing

12.

Research Foundation Year in Review -- 2012

CFA Institute Research Foundation R2013
Number of pages: 76 Posted: 11 Jun 2015 Last Revised: 20 Mar 2016
Antti Ilmanen, Richard Taffler, David Tuckett, Zvi Bodie, Laurence B. Siegel, Lisa Stanton, Momtchil Pojarliev, Richard M. Levich, Stephen Wilcox, David Adler, Thomas Oberlechner, Richard Sandor, Elroy Dimson, Jeffery Bailey, Bud Haslett and David Chambers
AQR Capital Management, University of Warwick - Finance Group, University College London - Centre for the Study of Decision-Making Uncertainty, Boston University - Department of Finance & Economics, CFA Institute Research Foundation, CFA Institute, Fischer Francis Trees & Watts, Inc., New York University (NYU) - Department of Finance, Minnesota State University, Mankato, CFA Institute, Webster University, Environmental Financial Products, LLC, University of Cambridge - Judge Business School, Target Corporation, CFA Institute Research Foundation and University of Cambridge - Judge Business School, Department of Finance & Accounting
Downloads 86 (285,660)

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Expected Returns, emotional finance, currency investing, life-cycle investing, inflation, liquidity, financial frictions, ethics, derivatives, equity risk premium

13.

Should Investors Avoid or Seek Out Currency Risk? How to Resolve a Long-Standing Puzzle

Journal of Financial Perspectives, Vol. 2, No. 3, 2014
Number of pages: 18 Posted: 01 Dec 2017
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance
Downloads 16 (532,620)

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14.

Trading the Forward Rate Puzzle

https://doi.org/10.3905/JAI.2009.11.3.026
Posted: 22 May 2019
Momtchil Pojarliev
Fischer Francis Trees & Watts, Inc.

Abstract:

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active currency management, carry trades

15.

Are All Currency Managers Equal?

NYU Working Paper No. 2451/29835, https://doi.org/10.3905/jpm.2011.37.4.042
Posted: 21 May 2019
Momtchil Pojarliev and Richard M. Levich
Fischer Francis Trees & Watts, Inc. and New York University (NYU) - Department of Finance

Abstract:

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16.

Portfolio Construction by Volatility Forecasts: Does the Covariance Structure Matter?

Financial Markets and Portfolio Management, Vol. 17, No. 1, pp. 103-116, 2003
Posted: 12 Sep 2005
Wolfgang Polasek and Momtchil Pojarliev
University of Basel and Fischer Francis Trees & Watts, Inc.

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17.

Performance of Currency Trading Strategies in Developed and Emerging Markets: Some Striking Differences

Financial Markets and Portfolio Management, Vol. 19, No. 3, 2005
Posted: 09 Sep 2005
Momtchil Pojarliev
Fischer Francis Trees & Watts, Inc.

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18.

Applying Multivariate Time Series Forecasts for Active Portfolio Management

Financial Markets and Portfoliomanagement, Vol. 15, No. 2, pp. 201-211, 2001
Posted: 06 Sep 2005
Wolfgang Polasek and Momtchil Pojarliev
University of Basel and Fischer Francis Trees & Watts, Inc.

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