Predictability of currency returns, based on Carry, Momentum and Value, is widely accepted in the literature. This paper shows that out-of-sample replication of the predictors, following publication of preeminent academic studies of their risk, reveals returns have disappeared. From an...

Following large positive returns in 2008, Commodity Trading Advisors (CTAs) received increased attention and allocations from institutional investors. Subsequent performance has been below its long term average. This has occurred in a period following the largest financial crisis since the great...

During the recent financial crisis dedicated short bias (DSB) hedge funds exhibited extremely strong results while many other hedge fund strategies suffered badly. This study, prompted by this recent episode, investigates DSB hedge fund performance over an extended sample period, from January...