The financial crisis of 2008 highlights the importance of detectingcrowded trades due to the risks they pose to the stability of thefinancial system and to the global economy. However, there is aperception that crowded trades are difficult to identify. To date, nosingle measure to capture the...

One traditional measure of investment performance, the information ratio (IR), is defined as the active return (alpha) divided by the tracking error (the standard deviation of the active return). Calculating an IR is straightforward when the benchmark for performance is a buy-and-hold standard...

We present a post-sample study of currency fund managers showing thatalpha hunters and especially alpha generators are more effective inproviding diversification benefits for a global equity portfolio thancurrency managers who earn beta returns from popular style strategies ormanagers with high...

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 methodology offers useful insights regarding the popularity of certain trades among hedge funds and provides...

In this paper, we provide an overview of the main features of activecurrency management programs, highlighting the mandates and the types oftrading strategies that are often used. The traditional benchmark used to measure skill or alpha in currency investing is that the expected excess rate of...

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...

When equity markets are churning out double digit returns and fixed income markets offer normal yields or declining rates, institutional investors can be somewhat relaxed. They can earn reasonable absolute returns with conventional strategies. “Beta grazing” goes a long way without much need...

One traditional measure of investment performance, the Information Ratio (IR), is defined as the active return (alpha) divided by the tracking error (the standard deviation of the active return). Calculating an IR is straightforward when the benchmark for performance is a buy-and-hold standard...