NYU Stern Finance Professor's New Research Shows Most Actively Managed Currency Funds Fail to Outperform a New Benchmark

NYU Stern Finance Professor's New Research Shows Most Actively Managed Currency Funds Fail to Outperform a New Benchmark:

"Do most currency fund managers deserve their high fees? According to a new study by NYU Stern Finance Professor Richard Levich and co-author Momtchil Pojarliev, Head of Currencies at Hermes Investment Management, the answer is no. Their study is the first to challenge conventional wisdom that professional currency hedge fund managers earn very large returns and that the appropriate benchmark is zero. Arguing that the appropriate benchmark is not zero, but rather the realized return on several easily replicated currency strategies (Carry, Trend, Value and Volatility), Professor Levich and Mr. Pojarliev find that just as equity fund indexes tend to outperform mutual fund managers, a collection of currency return indices outperforms most currency fund managers"
" A copy of their study is available at http://w4.stern.nyu.edu/finance/docs/WP/2007/pdf/wpa07023.pdf"