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The relation between currency momentum and hedge fund returns

Silden, Jan Erik Lofnes; Olsen, Tor Arne
Master thesis
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URI
http://hdl.handle.net/11250/2625292
Date
2019
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  • Master of Science [1117]
Abstract
In this thesis we are developing our own time series momentum factor to help explain the

returns of currency trading hedge funds. We are also including both a time series momentum

factor and cross-sectional momentum factors from the literature for a better comparison. We

regress the hedge fund returns on each factor in addition to the well-known Fung & Hsieh

factors to see how well the factors can explain these returns. Our findings indicate that the

momentum factors explain the currency trading hedge fund returns well. We conclude that

currency trading hedge funds do use currency momentum strategies to some extent.
Description
Masteroppgave(MSc) in Master of Science in Business, Finance - Handelshøyskolen BI, 2019
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Handelshøyskolen BI

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