Do Professional Currency Managers Beat the Benchmark?

Posted: 24 Sep 2008

See all articles by Momtchil Pojarliev

Momtchil Pojarliev

Fischer Francis Trees & Watts, Inc.

Richard M. Levich

New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER)

Multiple version iconThere are 4 versions of this paper

Date Written: September, 23 2008

Abstract

Investigation of an index of returns on professionally managed currency funds and a subset of returns from 34 individual currency fund managers finds that over the 1990-2006 period, currency fund managers earned excess returns averaging 25 bps per month. The study examines the relationship of these returns to four factors that represent the returns from distinct styles of currency trading - carry, trend, value, and volatility. The four factors explain a substantial portion of the variability in index returns. The study's approach modifies the definition of alpha returns to only that portion of excess returns not explained by the four factors. The impact of this change on measured alpha is substantial, but some currency fund managers still generate alpha returns.

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

Suggested Citation

Pojarliev, Momtchil and Levich, Richard M., Do Professional Currency Managers Beat the Benchmark? (September, 23 2008). Financial Analysts Journal, Vol. 64, No. 5, 2008. Available at SSRN: https://ssrn.com/abstract=1272607

Momtchil Pojarliev (Contact Author)

Fischer Francis Trees & Watts, Inc. ( email )

200 Park Avenue, 11th Floor
New York, NY 10166
United States

Richard M. Levich

New York University (NYU) - Department of Finance ( email )

Stern School of Business
44 West 4th Street
New York, NY 10012-1126
United States
212-998-0422 (Phone)
212-995-4256 (Fax)

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

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