Are All Currency Managers Equal?

Posted: 21 May 2019

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)

Date Written: October 2010

Abstract

We present a post-sample study of currency fund managers showing that alpha hunters and especially alpha generators are more effective in providing diversification benefits for a global equity portfolio than currency managers who earn beta returns from popular style strategies or managers with high total returns regardless of their source. Our study is unusual in that we measure the alpha from currency investing using a simple factor model rather than based on total excess returns, that we use rankings of currency managers from an earlier published study and examine their performance truly out-of-sample, and finally that our data reflect actual trades and returns earned by these managers, so the data are not contaminated by the usual biases in hedge fund databases. Our results suggest that a factor model approach to analyzing currency fund returns, coupled with the revealed degree of alpha and beta persistence in our data, offer institutional investors with large equity exposure a useful tool for improving their performance.

Suggested Citation

Pojarliev, Momtchil and Levich, Richard M., Are All Currency Managers Equal? (October 2010). NYU Working Paper No. 2451/29835. Available at SSRN: https://ssrn.com/abstract=1703317

Momtchil Pojarliev

Fischer Francis Trees & Watts, Inc. ( email )

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

Richard M. Levich (Contact Author)

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

Register to save articles to
your library

Register

Paper statistics

Abstract Views
780
PlumX Metrics