Managed currency funds - is performance predictable?

• Main Authors: Yip, Jenson Jing Min., Tan, Woon Loong., Chan, Yan Heng., Hor, Kenneth Kong Jie.
• Other Authors: Nanyang Business School
• Format: Final Year Project
• Language: English
• Published: 2013
• Subjects: DRNTU::Business
• Online Access: http://hdl.handle.net/10356/51404
• Institution: Nanyang Technological University

This study tests whether the performance of managed currency funds is predictable, using several factors that prior studies have used to predict the performance of equity mutual funds. It is scoped within the geographical boundaries of Eurasia, where a majority of the funds and fund managers in the study are based. Of particular interest is the predictive power of a fund’s age, past returns and volatility, together with the size of its manager’s capital, in predicting the fund’s future returns. Based on these identified variables, a total of four hypotheses were developed. Judgment sampling was employed and data was collected weekly over a period of ten weeks from an online public database maintained by Alpari, one of the leading names in online trading. The data gathered was then coded, prepared and used for statistical analysis. Univariate and multivariate regression analyses were carried out to test the hypotheses developed. Test results show that there exists a significant correlation between a fund’s age and its future 1-week return, and between a fund’s volatility and its future 1-week return, suggesting that a fund’s age and volatility have a moderate to high predictive power in projecting its future performance. However, no such significant correlation was found between a fund’s future 1-week return and its past returns or manager’s capital.