PIMCO’s Multi-Asset Alternative Risk Premia Strategy: The Search for Returns Beyond Traditional Asset Classes | PIMCO

We investigate the performance and risk of currency hedge funds using a large and unique consolidated currency hedge fund dataset. We find that a substantial number of hedge funds generate returns that exceed foreign exchange risk premia obtained through carry trades.

Carry Trades and the Performance of Currency Hedge Funds

The best alpha-generating funds exhibit a performance that persists over a one-year horizon. This performance persistence is mostly due to compensation for currency risk-taking as there is no strong evidence of remuneration for active management. The results are robust to biases affecting hedge fund returns, alternative carry trade benchmarks and different methodologies used to correct for sample variability.

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Please be patient as the files may be large. Related research [Other version s available] Keywords: Hedge Funds ; Foreign Exchange ; Asset Allocation ; Funds Performance Evaluation ; Other versions of this item: Find related papers by JEL classification: F31 - International Economics - - International Finance - - - Foreign Exchange F37 - International Economics - - International Finance - - - International Finance Forecasting and Simulation: Models and Applications References References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Is There a Common Cause?

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FX Hedge Fund Index | Eurekahedge

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Do they fit out of sample? NBER Macroeconomics Annual , Volume 23, pages National Bureau of Economic Research, Inc. The Case of Hedge Funds ," Review of Financial Studies , Society for Financial Studies, vol. Full references including those not matched with items on IDEAS Citations Citations are extracted by the CitEc Project , subscribe to its RSS feed for this item.

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Please note that corrections may take a couple of weeks to filter through the various RePEc services. IDEAS is a service hosted by the Research Division of the Federal Reserve Bank of St. Log in now much improved! Carry Trades and the Performance of Currency Hedge Funds. Author info Abstract Bibliographic info Download info Related research References Citations Lists Statistics Corrections. Federico Nucera Prometeia Giorgio Valente University of Essex and Hong Kong Institute for Monetary Research.

Federico Nucera Giorgio Valente. Paper provided by Hong Kong Institute for Monetary Research in its series Working Papers with number HTML HTML with abstract plain text plain text with abstract BibTeX RIS EndNote, RefMan, ProCite ReDIF JSON in new window. Related research [Other version s available].

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