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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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
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spelling doaj-bfce054f677e4fb7aee5eec096293e5b2020-11-25T01:57:35ZengEconJournalsInternational Journal of Economics and Financial Issues2146-41382013-06-01325445581032Efficiency of Currency Asset ClassesMohammad R. SafarzadehFatemeh Ibrahimi NazarianAna Kristel C. MolinaAnalyzing 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.https://dergipark.org.tr/tr/pub/ijefi/issue/31957/351930?publisher=http-www-cag-edu-tr-ilhan-ozturkcurrency asset class risk and return fund allocation efficient frontiers
collection DOAJ
language English
format Article
sources DOAJ
author Mohammad R. Safarzadeh
Fatemeh Ibrahimi Nazarian
Ana Kristel C. Molina
spellingShingle Mohammad R. Safarzadeh
Fatemeh Ibrahimi Nazarian
Ana Kristel C. Molina
Efficiency of Currency Asset Classes
International Journal of Economics and Financial Issues
currency asset class
risk and return
fund allocation
efficient frontiers
author_facet Mohammad R. Safarzadeh
Fatemeh Ibrahimi Nazarian
Ana Kristel C. Molina
author_sort Mohammad R. Safarzadeh
title Efficiency of Currency Asset Classes
title_short Efficiency of Currency Asset Classes
title_full Efficiency of Currency Asset Classes
title_fullStr Efficiency of Currency Asset Classes
title_full_unstemmed Efficiency of Currency Asset Classes
title_sort efficiency of currency asset classes
publisher EconJournals
series International Journal of Economics and Financial Issues
issn 2146-4138
publishDate 2013-06-01
description 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.
topic currency asset class
risk and return
fund allocation
efficient frontiers
url https://dergipark.org.tr/tr/pub/ijefi/issue/31957/351930?publisher=http-www-cag-edu-tr-ilhan-ozturk
work_keys_str_mv AT mohammadrsafarzadeh efficiencyofcurrencyassetclasses
AT fatemehibrahiminazarian efficiencyofcurrencyassetclasses
AT anakristelcmolina efficiencyofcurrencyassetclasses
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