Saturday, February 16, 2008

Currency managers

Do Professional Currency Managers Beat the Benchmark?

Momtchil Pojarliev and Richard M. Levich look at the performance of currency managers and compare their returns to some basic trading strategies: carry trade; trend following; relative value and volatility. They find that most returns are the equivalent of beta as being earned by making simple strategies. However, there are a small sub-set that make alpha and this appears to be a persistent group.

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