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Trading style analysis of leveraged currency funds

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  • P Lequeux

    (ABN AMRO Asset Management)

Abstract

This paper demonstrates how a dynamic currency index can be used in analysing the trading styles of currency fund managers. We first recall the composition, market timing and asset allocation of the dynamic index. We then introduce our universe of leveraged currency funds and show how to gain a better understanding of the strategies used by specific managers. In particular, we illustrate the trend-following nature of certain programmes and indicate how to monitor changes of leverage and trading style.

Suggested Citation

  • P Lequeux, 2001. "Trading style analysis of leveraged currency funds," Journal of Asset Management, Palgrave Macmillan, vol. 2(1), pages 56-74, June.
    • Handle: RePEc:pal:assmgt:v:2:y:2001:i:1:d:10.1057_palgrave.jam.2240035
    DOI: 10.1057/palgrave.jam.2240035
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    Cited by:

    1. Sam Nasypbek & Scheherazade S Rehman, 2011. "Explaining the returns of active currency managers," BIS Papers chapters, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 211-256, Bank for International Settlements.

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