About FX

Undertanding Alpha and Beta

Dividing return attribution into alpha and beta components assists an investor in achieving optimal portfolio diversification at the most efficient cost.
 

Publications and Working Papers
by Dr. Momtchil Pojarliev CFA
Hathersage Senior Portfolio Manager

• Is There Skill or Alpha in Currency Investing?
  The Handbook of Exchange Rates (Forthcoming)
  To discover which currency managers, if any, deliver significant alpha, their returns are measured against a newly developed four factor model.
• Are All Currency Managers Equal?
  Journal of Portfolio Management
  A study of currency fund managers showing that alpha hunters and generators are more effective in providing diversification for a global equity portfolio.
• Detecting Crowded Trades in Currency Funds
  Financial Analysts Journal
  A method for measuring the crowdedness of a trade, or trading style, and its application to professional currency managers.
  
• more
  

Currency Alpha Revisited
Andrew Taylor makes the case for currency alpha mandates, looks at implementation issues and then analyses in detail the major strategies currently employed.

Institutional or Entrepreneurial Management?
David Finstad derives an alternative approach to investment manager selection from an analysis of organizational factors and their effect on manager performance.

The Adaptive Markets Hypothesis
Andrew W. Lo of MIT proposes a new framework that reconciles market efficiency with behavioral alternatives by applying the principles of evolution to financial interactions. He then offers a number of surprisingly concrete implications for the practice of portfolio management.

• The Adaptive Markets Hypothesis:
  Market Efficiency from an Evolutionary Perspective
• Reconciling Efficient Markets
  with Behavioral Finance:
  The Adaptive Markets Hypothesis
  
• Efficient Markets Hypothesis

The Sultan of Currencies
"It is estimated that, on average, $1 trillion is traded each day in the world currency markets. In this huge market, there has been only a handful of high-stakes players. Ironically, although these traders sometimes take positions measured in billions of dollars they are virtually unknown to most of the financial community, let alone the public. Bill Lipschutz is one of these traders." ... read more