Detecting Crowded Trades in Currency Funds

Posted: 23 Jan 2011

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: January 21, 2011

Abstract

Investors and regulators suspect that crowded trades may pose a special risk. The authors propose a methodology to measure crowded trades and apply it to currency managers. This methodology offers useful insights regarding the popularity of certain trades among hedge funds and provides regulators with another tool for monitoring markets.

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

Suggested Citation

Pojarliev, Momtchil and Levich, Richard M., Detecting Crowded Trades in Currency Funds (January 21, 2011). Financial Analysts Journal, Vol. 67, No. 1, 2011. Available at SSRN: https://ssrn.com/abstract=1745106

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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