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Efficiency of Currency Asset Classes

Author

Listed:
  • Mohammad R. Safarzadeh

    (Department of Economics, California State Polytechnic University, USA)

  • Fatemeh Ibrahimi Nazarian

    (Finance and Business Economics, Marshall School of Business, University of Southern California, Los Angeles, USA)

  • Ana Kristel C. Molina

    (Department of Economics, California State Polytechnic University, USA)

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.

Suggested Citation

  • Mohammad R. Safarzadeh & Fatemeh Ibrahimi Nazarian & Ana Kristel C. Molina, 2013. "Efficiency of Currency Asset Classes," International Journal of Economics and Financial Issues, Econjournals, vol. 3(2), pages 544-558.
    • Handle: RePEc:eco:journ1:2013-02-27
    as

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    References listed on IDEAS

    as
    1. Jorge Braga de Macedo, 1982. "Optimal Currency Diversification for a Class of Risk Averse International Investors," NBER Working Papers 0959, National Bureau of Economic Research, Inc.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Currency asset class; risk and return; fund allocation; efficient frontiers;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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