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, …

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 …

We make use of a new database on daily currency fund manager returns over a three-year
period, 2005–2008. This higher frequency data allows us to estimate both alpha measures of …

The authors of this book examine the rationale for investing in currency. They highlight several
features of currency returns that make currency an attractive asset class for institutional …

This paper explores the performance of a global minimum variance (GMV) portfolio in
dependence of the structure of the covariance matrix and the type of volatility model. Different …

… In POJARLIEV and POLASEK (2000) we show that multivariate time series forecasts also
improve the estimation of the value at risk of a portfolio. The next section shows that better …

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 …

Expanding the currency investment universe makes a lot of sense from a diversification point
of view. Nevertheless, 60% of the total foreign exchange turnover is still only traded in three …

The recent interest in the asset management industry towards "portable alpha" has made
currencies more attractive than ever as an asset class. One of the most attractive features of …

This chapter focuses on the appropriate benchmark for performance and the empirical track
record of active currency managers. It reviews the types of mandates that are typically set for …