Monday, March 10, 2008
Do Professional Currency Managers Beat the Benchmark?
By Momtchil Pojarliev, Hermes Investment Management Limited
and Richard M. Levich, New York University Stern School of Business, Finance Department
Investigates returns from 34 individual currency fund managers against returns of a professionally managed currency funds index. They examine the relationship of the returns against four factors representing returns based on carry trading, trend-following, value trading and currency volatility.
Download the full article
From the March 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
and Richard M. Levich, New York University Stern School of Business, Finance Department
Investigates returns from 34 individual currency fund managers against returns of a professionally managed currency funds index. They examine the relationship of the returns against four factors representing returns based on carry trading, trend-following, value trading and currency volatility.
Download the full article
From the March 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, foreign exchange, hedge funds
February Commodity Trading Advisor and Hedge Fund Performance
Commodity Trading Advisor performance for December as measured by the Barclay CTA Index averaged +2.07%. February’s estimate based on the performance of the Barclay BTOP50 Index is +3.97%.
Hedge funds had a down month in January reflected by losses in fifteen of our eighteen indexes. The average return for the 2978 hedge funds (ex. FoFs) that have so far reported a January return is -3.24%. The estimates for February, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for February.
Hedge Fund Indices and Managed Futures Indices
From the March 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Hedge funds had a down month in January reflected by losses in fifteen of our eighteen indexes. The average return for the 2978 hedge funds (ex. FoFs) that have so far reported a January return is -3.24%. The estimates for February, along with the number of funds reporting for each of our 18 sectors can be found at the link below. These indices are being continually updated as current returns for the underlying hedge funds are recorded into our system. As of this writing, 16 of 18 hedge fund sectors are showing positive returns for February.
Hedge Fund Indices and Managed Futures Indices
From the March 2008 issue of Barclay's Insider Report. Accredited investors can subscribe to the full newsletter for free.
Labels: Barclay Insider Report, commodity trading advisor, hedge funds, managed futures
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