Thursday, April 11, 2013
The Returns to Carry and Momentum Strategies
The authors find that global time series carry strategies (across bonds, commodities, currencies, equities and metals) can be explained by a set of lagged macroeconomic variables. The payoffs to carry strategies disappear once futures returns are adjusted for their predictability based on these macroeconomic variables. On the other hand, momentum strategies are only weakly affected by lagged macroeconomic variables but are significantly related to measures of hedge fund capital flow.
Download the full article here.
From the April 2013 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, commodities, currency funds, hedge funds
Wednesday, September 14, 2011
CitiFX® Launches New Platform for Investors Seeking Currency Alpha
London – September 14, 2011 – CitiFX® has launched a new multi-manager platform, CitiFX® Access. The platform offers a range of vehicles facilitating investment in FX managers via multi-strategy benchmark and actively-managed indices licensed from leading index sponsors.
The returns of these indices are driven by the performance of currency programs run by the most prominent hedge funds, asset managers and advisors in the industry. From inception, the platform will represent about 35 currency programs estimated to account for more than 50% of the assets under management in currency funds.
Read the entire Citi Press Release by clicking here.
Labels: BarclayHedge press release, currency funds
Wednesday, November 10, 2010
Are All Currency Managers Equal?
In their paper, they present a post-sample study of currency fund managers showing that alpha hunters and especially alpha generators are more effective in providing diversification benefits for a global equity portfolio than currency managers who earn beta returns from popular style strategies or managers with high total returns regardless of their source.
Download the full article here.
From the November 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
Tuesday, January 12, 2010
Detecting Crowded Trades in Currency Funds
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
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?
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
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
Copyright © 2010 by Barclay Hedge
Subscribe to Posts [Atom]