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Are All Currency Managers Equal?

Momtchil Pojarliev and Richard M. Levich
The Journal of Portfolio Management Summer 2011, 37 (4) 42-53; DOI: https://doi.org/10.3905/jpm.2011.37.4.042
Momtchil Pojarliev
is a director and senior portfolio manager at Hathersage Capital Management, LLC, in New York, NY.
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  • For correspondence: momtchil@hathersage.com
Richard M. Levich
is a professor of finance at the New York University Stern School of Business in New York, NY.
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  • For correspondence: rlevich@stern.nyu.edu
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Abstract

Pojarliev and Levich 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 global equity portfolio than currency managers who earn beta returns from popular style strategies or managers with high total returns regardless of their source. The authors’ study is unusual in that they 1) measure the alpha from currency investing using a simple factor model rather than using total excess returns, 2) use rankings of currency managers from an earlier published study and examine their performance truly out of sample, and 3) use data that reflect actual trades and returns earned by these managers so that the data are not contaminated by the usual biases in hedge fund databases. Their results suggest that a factor model approach to analyzing currency fund returns, coupled with the revealed degree of alpha and beta persistence in their data, offer institutional investors with large equity exposure a useful tool for improving performance.

TOPICS: Manager selection, factor-based models, financial crises and financial market history

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The Journal of Portfolio Management: 37 (4)
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Are All Currency Managers Equal?
Momtchil Pojarliev, Richard M. Levich
The Journal of Portfolio Management Jul 2011, 37 (4) 42-53; DOI: 10.3905/jpm.2011.37.4.042

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Are All Currency Managers Equal?
Momtchil Pojarliev, Richard M. Levich
The Journal of Portfolio Management Jul 2011, 37 (4) 42-53; DOI: 10.3905/jpm.2011.37.4.042
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