TY  - JOUR
AU  - Pojarliev,Momtchil
AU  - Levich,Richard M.
TI  - Do Professional Currency Managers Beat the Benchmark?
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 13714
PY  - 2007
Y2  - December 2007
UR  - http://www.nber.org/papers/w13714
L1  - http://www.nber.org/papers/w13714.pdf
N1  - Author contact info:
Momtchil Pojarliev
Director and Senior Portfolio Manager,
Hathersage Capital Management LLC,
77 Bleecker St., Ste. 531,
New York, NY 10012
E-Mail: momtchil@hathersage.com

Richard M. Levich
Stern School of Business
New York University
44 West 4th Street
New York, NY 10012
Tel: 212/998-0422
Fax: 212/995-4256
E-Mail: RLEVICH@STERN.NYU.EDU
M2  - featured in NBER digest on 2008-05-01
AB  - 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 returns to four factors representing returns based on carry trading, trend-following, value trading and currency volatility. These four factors explain a substantial portion of the variability in index returns in the entire period and in sub-periods. We perform similar regressions for the 34 individual funds, and find many funds where returns are significantly related to these four factors. Our approach impacts the definition of alpha returns from currency speculation, modifying it from the excess return earned by the fund, to only that portion of the excess returns not explained by the four factors. While the impact on measured alpha is substantial, we find that some currency fund managers continued to generate alpha returns in the most recent sample period.
ER  -