Efficiency of Currency Asset Classes
Abstract
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. Keywords: Currency asset class; risk and return; fund allocation; efficient frontiers JEL Classifications: G15Downloads
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Published
2013-04-08
How to Cite
Safarzadeh, M. R., Ibrahimi Nazarian, F., & Molina, A. K. C. (2013). Efficiency of Currency Asset Classes. International Journal of Economics and Financial Issues, 3(2), 544–558. Retrieved from https://econjournals.com./index.php/ijefi/article/view/387
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