haku: @author Acar, E. / yhteensä: 2
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| Tekijä: | Lequeux, P. Acar, E. |
| Otsikko: | A dynamic index for managed currencies funds using CME currency contracts |
| Lehti: | European Journal of Finance
1998 : DEC, VOL. 4:4, p. 311-330 |
| Asiasana: | Currency Benchmarking |
| Vapaa asiasana: | Trading Rules |
| Kieli: | eng |
| Tiivistelmä: | The paper's goal is to equip the investor with the tools and understanding necessary to evaluate managed currencies' investments in a meaningful way. It is shown that managed currency funds might exhibit a common factor because most of the trading managers use similar technical forecasts to trigger their positions in the financial markets. Therefore, a dynamic benchmark is built, based on technical trading rules. There are three simple moving averages are selected and given equal weight. Then the basket of trading rules is applied to a set of currencies. The weighting btw. currencies is done according to volumes traded on the OTC market as observed through Reuters 2000. Such a dynamic benchmark when adjusted for the leverage and risk-free factors exhibits similar performances, namely returns and volatility, to currency traders' benchmarks. The degree of correlation is high and the tracking error is low. These results might have several implications for institutions wishing to consider managed currency funds. |
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