Research by Dr. Momtchil Pojarliev, CFA

Recent Publications and Working Papers

 
“Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers”
Journal of International Money and Finance, 2010. (with Richard Levich)

"A New Approach for Measuring Crowded Trades in Financial Markets"
Posted at VoxEU.org, a policy portal sponsored by the Centre for Economic Policy Research, January 29, 2010. (with Richard Levich)

“Detecting Crowded Trades in Currency Funds”
Working Paper, December 2009. (with Richard Levich)

“Currency Management Indexes: What Do They Tell Us?”
in Foreign Exchange: A Practitioner’s Approach to the Market, Amy Middleton (ed.) Riskbooks, 2009. (with Emmanuel Acar)

“Trading the Forward Rate Puzzle”
Journal of Alternative Investments, vol. 11, no. 3, 2009, pp. 26-36.

“Do Professional Currency Managers Beat the Benchmark?”
Financial Analysts Journal, vol. 64, no. 5, 2008, (Sep/Oct), pp. 18-32. (with Richard Levich)

“Alpha and Style Persistence for Currency Managers”
Posted at VoxEU.org, a policy portal sponsored by the Centre for Economic Policy Research, October 24, 2008. (with Richard Levich)

“Hunting Out the Alpha Seekers”
Global Pensions, September 2008. (with Richard Levich)

“Separating Alpha and Beta Returns: Are Currency Managers Measuring Up”
Posted at VoxEU.org, a policy portal sponsored by the Centre for Economic Policy Research, February 2008. (with Richard Levich)

“Can a Developed Country Currency Manager Successfully Invest in Emerging Market Currencies?”
Global Pensions, February 2007

“Performance of Currency Trading Strategies in Developed and Emerging Markets: Some Striking Differences”
Financial Markets and Portfolio Management, vol. 19, no. 3, 2005

“Global European Portfolio Construction: Does a Changing Volatility Structure Matter?”
Applied Stochastic Models in Business and Industry, vol. 20, 2004. (with Wolfgang Polasek)

“Portfolio Construction by Volatility Forecasts: Does the Covariance Structure Matter?”
Financial Markets and Portfolio Management, vol. 17, no. 1, 2003. (with Wolfgang Polasek)

“Data Mining – All Show, No Go.”
Risk & Reward, 3rd Quarter 2002

“Applying Multivariate Time Series Forecasts for Active Portfolio Management”
Financial Markets and Portfolio Management, vol. 15, no. 2, 2001. (with Wolfgang Polasek)