Efficiency of Currency Asset Classes

Mohammad R. Safarzadeh, Fatemeh Ibrahimi Nazarian and Ana Kristel C. Molina
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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

International Journal of Economics and Financial Issues, 2013, vol. 3, issue 2, 544-558

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 (search for similar items in EconPapers)
JEL-codes: G15 (search for similar items in EconPapers)
Date: 2013
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Persistent link: https://EconPapers.repec.org/RePEc:eco:journ1:2013-02-27

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