Efficiency of Currency Asset Classes

Authors

  • Mohammad R. Safarzadeh California State Polytechnic University-Pomona
  • Fatemeh Ibrahimi Nazarian Marshall School of Business, USC
  • Ana Kristel C. Molina California State Polytechnic University-Pomona

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

JEL Classifications: G15

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Author Biographies

Mohammad R. Safarzadeh, California State Polytechnic University-Pomona

Professor of Economics, Economics Department, California State Polytechnic University-Pomona

Fatemeh Ibrahimi Nazarian, Marshall School of Business, USC

Professor, Department of Finance and Business Economics

Ana Kristel C. Molina, California State Polytechnic University-Pomona

Graduate Student, Department of Economics

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Published

2013-04-08

How to Cite

Safarzadeh, M. R., Ibrahimi Nazarian, F., & Molina, A. K. C. (2013). Efficiency of Currency Asset Classes. International Journal of Economics and Financial Issues, 3(2), 544–558. Retrieved from https://www.econjournals.com/index.php/ijefi/article/view/387

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