Recently a range of alternative risk premia products have been developed promising investors hedge fund/CTA like returns with higher liquidity, transparency and relatively low fees. The attractiveness of these products rests on the assumption that they can deliver similar returns. Using a novel...

Recent academic and practitioner attention has focused on currency momentum. In this paper we replicate technical trading rules to assess their relationship with momentum. From an investment perspective, the average out-of-sample pre-transaction cost Sharpe ratio of technical trading rules is...

Predictability of currency returns, based on Carry, Momentum and Value, is widely accepted in the literature. This paper shows that out-of-sample replication of the predictors, following publication of preeminent academic studies of their risk, reveals returns have disappeared. From an...

This study tests a large sample of UK equity returns from 1965-2007 for predictability. Returns are tested using the Lo and MacKinlay (1988) variance ratio test and the Chow and Denning (1993) multiple variance ratio tests. Overall, the results show strong signs of predictability. There is a...