Efficiency of Currency Asset Classes

Efficiency of Currency Asset Classes

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Analyzing the risk and return for the S&P Currency Index Arbitrage and the Merk Absolute Return Currency Fund, this study intends to find whether currency asset classes are worthwhile investments. To determine where the efficient currency portfolios lie in the risk and return spectrum, this...

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Bibliographic Details
Main Authors: Mohammad R. Safarzadeh, Fatemeh Ibrahimi Nazarian, Ana Kristel C. Molina
Format: Article
Language:English
Published: EconJournals 2013-06-01
Series:International Journal of Economics and Financial Issues
Subjects:
currency asset class
risk and return
fund allocation
efficient frontiers
Online Access:https://dergipark.org.tr/tr/pub/ijefi/issue/31957/351930?publisher=http-www-cag-edu-tr-ilhan-ozturk
Description
Summary:Analyzing the risk and return for the S&P Currency Index Arbitrage and the Merk Absolute Return Currency Fund, this study intends to find whether currency asset classes are worthwhile investments. To determine where the efficient currency portfolios lie in the risk and return spectrum, this paper compares the two portfolios to fixed income and equity asset portfolios. The results lead to a baffling conclusion that, in general, the returns to low-risk currency asset portfolios are higher than the equity asset portfolios of same risk level.
ISSN:2146-4138

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