Currency overlay is the management of the currency exposure inherent in cross-border institutional investments. Exposure to foreign currencies increases the volatility of their returns, without increasing the returns themselves and academics and consultants recommended that the currency exposure should be stripped out of international portfolios and eliminated as far as practicable. This book provides a comprehensive description of currency overlay, its history and possible future developments and growth, the reason for its emergence, the debates and controversies, the different styles of currency management, and the industry's performance track record. This is a subject of international appeal and is an area of particular growth potential for institutional investors. Coverage includes: The theoretical case for eliminating currency risk in international portfolios The interplay between asset returns and currency returns, and the effect of this on hedging decisions Benchmarks - their construction and strategic role Least-cost passive overlay The structure of the currency market, and its 'inefficiencies' Active overlay styles Active overlay both restricted and unrestricted (currency alpha) Uses diagrams, charts, tables and explanatory boxes to explain concepts
The book also serves as a valuable supplement for courses on economics, business, and international finance at the upper-undergraduate and graduate levels. "This book is remarkable.
This is precisely what Callum Henderson does in this eminently practical and readable book.
9.1 ATTRIBUTING PERFORMANCE TO CURRENCY OVERLAY AND LONG - SHORT PORTFOLIOS Balana and Weary ( 1998 ) provide a very appealing way to deal with attribution analyses for currency overlay and certain types of long - short portfolios .
This is an expanded and enhanced edition of the popular Managing Foreign Exchange Risk which first appeared in 1990. Students of finance, traders, institutional investors and corporate treasurers commend the...
It is crucial that the investors note the difference in investment styles when a pension fund does not have a separate asset class for currency and prefers to implement a currency 'overlay' program. Foreign currency risk is normally ...
Written by a seasoned campaigner, "Applied Essentials--Foreign Exchange, The Complete Deal" guides readers through the market jargon and mystic of foreign exchange to get to the heart of how currencies are traded.
For funds that decide to use active currency overlay managers , this hedge ratio would also serve as the benchmark . The performance achieved by the COM will be compared with the return on the benchmark . Although any benchmark ( see ...
Currency Overlay Active management of currency exposures can extend beyond limited managerial discretion within hedging boundaries. Sometimes accepting and managing currency risk for profit can be considered a portfolio objective.
A broader view of currency overlay allows the externally hired currency overlay manager to take directional views on future currency ... Sometimes a distinction is made between currency overlay and “foreign exchange as an asset class.
4, no. 1: 33–39. Froot, K. 1995. “Hedging Portfolios with Real Assets.” Journal of Portfolio Management, vol. 21, no. 4:60–77. Fung, William, and David Hsieh. 1997a. ... Halpern, Philip, and Randy Warsager. 1998.