Thursday, 21 August 2014
Last updated 11 min ago
Mar 22 2007 | 12:03pm ET
Merrill Lynch has rolled out a foreign-exchange trading methodology that it claims replicates hedge fund strategies at reduced cost.
The ML FX Clone utilizes momentum, carry-trade and U.S. dollar trading strategies. Backtesting data shows an average annual return of 9.1%—in line with the Parker FX Index—and only one year of negative returns since 1989, according to the firm.
“Our replication strategies offer attractive returns and diversification benefits similar to those of broad currency portfolio manager indices,” Merrill head of global forex strategy Alex Patelis said. “However, they are more transparent, have greater liquidity, little manager risk and potentially lower trading and transaction costs.”
Merrill analysts noted in an October 2006 report that as the hedge fund industry matures and more active managers share and compete for available returns, justifying paying higher fees for active management may be increasingly difficult if similar strategies can be mechanically implemented at lower cost.
Aug 4 2014 | 7:42am ET
By now, U.S. and international subscribers have received their home or office delivery of the special 500th issue of Futures magazine. You can too!—a very special offer follows. The issue is the largest in years—filled with the best trading strategies and stories from 43 years of being the primary publication for commodity, stock, options and forex traders. Read more…
The July/August 2014 issue is our largest in years—filled with the best trading strategies and stories from 43 years of being the primary publication for commodity, stock, options and forex traders.
The Alpha Pages Editor's Note