Tuesday, January 12, 2010
Detecting Crowded Trades in Currency Funds
By Momtchil Pojarliev, Hathersage Capital Management LLC and Richard M. Levich, Finance Department, New York University's Leonard N. Stern School of Business
In their paper, they propose a methodology to measure crowded trades and apply it to professional currency managers. They also offer useful insights regarding the popularity of certain trades – in currencies, gold, or other assets – among hedge funds.
Download the full article here.
From the January 2010 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
In their paper, they propose a methodology to measure crowded trades and apply it to professional currency managers. They also offer useful insights regarding the popularity of certain trades – in currencies, gold, or other assets – among hedge funds.
Download the full article here.
From the January 2010 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, currency funds
Friday, January 9, 2009
Recovering Delisting Returns of Hedge Fund
By James E. Hodder, Professor - Finance, Investment and Banking, University of Wisconsin-Madison; Dr. Jens Jackwerth, Head Dept of Economics, University of Konstanz; and Olga Kolokolova, Research Asst., University of Konstanz
Their paper examines the issue of hedge fund performance estimation when a fund has stopped reporting returns to a commercial database and whether or not a return should be attributed to funds for the period they stop reporting.
Download the full article here
From the January 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Their paper examines the issue of hedge fund performance estimation when a fund has stopped reporting returns to a commercial database and whether or not a return should be attributed to funds for the period they stop reporting.
Download the full article here
From the January 2009 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, currency funds, funds of hedge funds, hedge fund performance, hedge fund research, hedge fund risk, hedge funds
Wednesday, November 12, 2008
How Successful is the G7 in Managing Exchange Rates?
By Marcel Fratzscher, Senior Adviser, European Central Bank, Frankfurt am Main, Germany
The paper assesses the extent to which the Group of Seven (G7) has been successful in its management of major currencies since the 1970s.
Download the full article here
From the November 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
The paper assesses the extent to which the Group of Seven (G7) has been successful in its management of major currencies since the 1970s.
Download the full article here
From the November 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, currency funds
Tuesday, September 9, 2008
Trades of the Living Dead: Style Differences, Style Persistence and Performance of Currency Fund Managers
By Momtchil Pojarliev, Head of Currencies at Hermes Investment Management Limited and Richard M. Levich, Professor of Finance and International Business and Deputy Chair of the Department of Finance at New York University's Leonard N. Stern School of Business
Takes a close look at the returns of professional currency managers and examines the difference in performance between funds that survive and those that do not.
Download the full article here
From the September 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Takes a close look at the returns of professional currency managers and examines the difference in performance between funds that survive and those that do not.
Download the full article here
From the September 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, Barclay Insider Report Guest Article, currency funds
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