About FX

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

including:
Currency Manager Performance: Alpha or Beta?
Momtchil Pojarliev and Richard Levich look at the difficulties in benchmarking currency managers and develop a model to separate alpha from beta.

• Do Currency Managers Beat the Benchmark?
• Style Differences, Style Persistence and
  Performance of Currency Fund Managers

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