| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w13714 |
| 来源ID | Working Paper 13714 |
| Do Professional Currency Managers Beat the Benchmark? | |
| Momtchil Pojarliev; Richard M. Levich | |
| 发表日期 | 2007-12-28 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | We investigate an index of returns on professionally managed currency funds and a subset of returns from 34 individual currency fund managers. Over the period 1990-2006, excess returns earned by currency fund managers have averaged 25 basis points per month. We examine the relationship of these returns to four factors representing returns based on carry trading, trend-following, value trading and currency volatility. These four factors explain a substantial portion of the variability in index returns in the entire period and in sub-periods. We perform similar regressions for the 34 individual funds, and find many funds where returns are significantly related to these four factors. Our approach impacts the definition of alpha returns from currency speculation, modifying it from the excess return earned by the fund, to only that portion of the excess returns not explained by the four factors. While the impact on measured alpha is substantial, we find that some currency fund managers continued to generate alpha returns in the most recent sample period. |
| 主题 | International Economics ; International Finance |
| URL | https://www.nber.org/papers/w13714 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/571390 |
| 推荐引用方式 GB/T 7714 | Momtchil Pojarliev,Richard M. Levich. Do Professional Currency Managers Beat the Benchmark?. 2007. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w13714.pdf（283KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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