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http://hdl.handle.net/2451/31552
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| Title: | Hunting for Alpha Hunters in the Currency Jungle |
| Authors: | Levich, Richard M.
Pojarliev, Momtchil |
| Issue Date: | 29-May-2012 |
| Series/Report no.: | FIN-12-006 |
| 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. |
| URI: | http://hdl.handle.net/2451/31552 |
| Appears in Collections: | Finance Working Papers
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