We make use of a new database on daily currency fund manager returns over a three-year period, 2005-08. This higher frequency data allows us to estimate both alpha measures of performance and beta style factors on a yearly basis, which in turn allows us to test for persistence. We find no...

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...

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...

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 global equity portfolio than currency managers who earn beta returns from popular style strategies or managers with...

The question of how to manage currency risk in institutional portfolios has been controversial since the modern surge in global investing started to take root in the 1970s. Fund managers tend to hedge some or all of their embedded currency exposure, but few pursue currency returns separately...

We make use of a new database on daily currency fund manager returns over a three-year period, 2005-08. This higher frequency data allows us to estimate both alpha measures of performance and beta style factors on a yearly basis, which in turn allows us to test for persistence. We find no...

We make use of a new database on daily currency fund manager returns over a three-year period, 2005-08. This higher frequency data allows us to estimate both alpha measures of performance and beta style factors on a yearly basis, which in turn allows us to test for persistence. We find no...

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, currency fund managers earned excess returns averaging 25 bps per month. The study examines the relationship of...

The Year in Review 2012 summarizes the offerings from the Research Foundation of CFA Institute over the past year — monographs, literature reviews, workshop presentations, and other relevant material

Managing risk is at the core of managing any financial organization. Risk measurement and quantitative tools are critical aids for supporting risk management, but quantitative tools alone are no substitute for judgment, wisdom, and knowledge. Managers within a financial organization must be,...