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active currency strongmanagementstrong part ii is there skill or alpha in.pdf

active currency strongmanagementstrong part ii is there skill or alpha in.pdf

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active currency strongmanagementstrong part ii is there skill or alpha in

Active Currency Management Part II: Is There Skill or Alpha in Currency Investing? Momtchil Pojarliev Richard M. Levich First Draft: July 24, 2010 Revised: April 11, 2011 Comments welcomed PRELIMINARY (Please do not quote without the authors’ permission) In this paper, we provide an overview of the main features of active currency management programs, highlighting the mandates and the types of trading strategies that are often used. The traditional benchmark used to measure skill or alpha in currency investing is that the expected excess rate of return is zero. We offer an alternative standard where the expected rate of return is related to naïve style factors based on strategies that an investor could adopt assuming no special expertise. We review empirical evidence on the performance of both individual currency fund managers and indices of managers using the alternative benchmark. We find that a large percentage of variation in currency fund returns can be attributed to style indices. As a result, performance measures and rankings of currency funds may vary greatly depending on the benchmark used. We review related empirical evidence on fund management styles and survivorship and discuss the implications for currency management strategy and setting currency fund management fees. Key words : Foreign Exchange, Hedge Funds, Manager Selection JEL Classification : F31 Contact details: Momtchil Pojarliev, Hathersage Capital Management LLC, 77 Bleecker St

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