Hunting for Alpha Hunters in the Currency Jungle

11 Pages Posted: 31 May 2012

See all articles by Richard M. Levich

Richard M. Levich

New York University (NYU) - Department of Finance; National Bureau of Economic Research (NBER)

Momtchil Pojarliev

Fischer Francis Trees & Watts, Inc.

Date Written: May 2012

Abstract

When equity markets are churning out double digit returns and fixed income markets offer normal yields or declining rates, institutional investors can be somewhat relaxed. They can earn reasonable absolute returns with conventional strategies. “Beta grazing” goes a long way without much need to look for exotica.1 Put differently, when traditional assets are likely to provide reasonable returns, the need for so called alternatives is less urgent. But when expected returns in equity markets seem slight and fixed income has been overrun by scared rabbits looking for safety or a small yield-to-maturity, things are different. What should institutional investors do to satisfy their need for more acceptable absolute rates of return?2 In such an environment, the marginal contribution of alpha hunting is far greater. It goes beyond the desire to diversity into the necessity to earn a critical level of absolute return.

Suggested Citation

Levich, Richard M. and Pojarliev, Momtchil, Hunting for Alpha Hunters in the Currency Jungle (May 2012). NYU Working Paper No. 2451/31552, Available at SSRN: https://ssrn.com/abstract=2071040

Richard M. Levich (Contact Author)

New York University (NYU) - Department of Finance ( email )

Stern School of Business
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New York, NY 10012-1126
United States
212-998-0422 (Phone)
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National Bureau of Economic Research (NBER)

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Cambridge, MA 02138
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Momtchil Pojarliev

Fischer Francis Trees & Watts, Inc. ( email )

200 Park Avenue, 11th Floor
New York, NY 10166
United States

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