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Foreign Exchange: A Practitioner’s Approach to the Market
Incisive Media, February 2009, Pages: 376
The market for foreign exchange remains one of the most complex, liquid and dynamic in the world. As such, academic work on the subject is extensive. Yet, to date, the extent of detailed industry-focused research remains small.
Foreign Exchange: A Practitioner's Approach to the Market bridges this gap, bringing together leading researchers from the frontiers of foreign exchange to produce the most up-to-date tool-kit for the management of currency.
Throughout the emphasis is on new and cutting-edge techniques forged in the unforgiving world of foreign-exchange trading to meet the challenges of today's volatile markets.
The demand for currency has exploded over the past decade with increasing amounts of money under management flowing to pure currency hedge funds/CTAs and currency-overlay products. Foreign Exchange: A Practitioner’s Approach to the Market takes a systematic approach to the often seemingly chaotic world of foreign exchange.
Chapters written by highly respected industry researchers detail the latest thinking on:
- How to measure currency risk in a portfolio?
- How to gauge the value of active versus passive strategies?
- What are feasible strategies for currency investing, do they add alpha and what is their impact when added to, or overlaid upon, an existing non-currency investment portfolio?
- Can emerging markets or funds of currency funds predictably add value in a currency investment programme?
Topics are wide ranging, and include currency as an embedded risk, to currency as a potential return provider and a source of portable alpha.
Foreign Exchange: A Practitioner’s Approach to the Market is must-have reading for asset management firms, banks, hedge funds, pension funds, real money managers, funds of funds.
PART I CURRENCY RISK AND GLOBAL MACRO
1 Risk Assessment in Currency Programmes
Michael Shilling and Gavin Francis
Pareto Investment Management Limited
2 Currency in Global Macro Investing
Karen Parker Feld; Don Rich
Artemis Financial Advisors; Harvard Management Company
PART II CURRENCY OVERLAY
3 Currency Overlay: What, Why and How?
Bank of America
4 Passive Currency Hedging: Is It a Good Idea?
Ulf J. Lindahl
A. G. Bisset & Co., Inc.
5 Currency Return Attribution for International Fixed Income and Equity
Eric B. P. Busay and Omid Rezania
6 From Active Overlay to Passive Overlay Plus Pure Alpha
Hai Xin and Hugues Rondouin
Overlay Asset Management
PART III ALPHA GENERATION
7 New Generation FX Models: A Practitioner Perspective
Bank of America
8 Currency Management: A Diversified Source of Returns
Investec Asset Management
9 Investing in Emerging Markets’ Currencies: Where We Came From and Where We Are Going
10 Investigating Moving Averages Rules: A Stochastic Simulation Approach
Bank of America
11 Energy Efficiency and Currencies: A Systematic Investment Strategy
Alessio de Longis
12 Hedge Fund Performance Statistics: Fairytale or Reality?
Bank of America
PART IV PORTFOLIO ALLOCATION
13 Currency Management Indexes: What Do They Tell Us?
Emmanuel Acar; Momtchil Pojarliev
Directional Trading Limited; Hermes Fund Managers Limited
14 Multi-Manager Currency Funds
Thames River Capital LLP
15 How to Benefit from International Currency Exposure
16 Active Currency: Worth the Risk?
Jeppe Ladekarl and Samagan Nasypbek
"In this collection of essays and analyses, Amy Middleton brings together a sophisticated group of market professionals who work at the frontiers of currency investment. With the passing of time, currency markets have grown and the level of complexity in currency strategy and analysis has grown alongside. The authors in this text offer their assessments of various time-tested, vanilla strategies, but the emphasis is on the new and cutting edge ideas that have evolved to meet the enhanced level of activity, and possibly efficiency, in the markets."
- Professor Richard M. Levich, Stern School of Business.
"There is far too little practical information about Foreign Exchange available to those who have foreign exchange exposures (which is almost every investor!), or for those who are considering using it as a source of alpha; and what little practical information is available is generally spread around the many corners of the world. That is why "Foreign Exchange: A Practitioner’s Approach to the Market" is such a useful work. It brings together, in one place, one of the broadest collections of information on many of the important practical questions about Foreign Exchange, written by authors with deep practical and theoretical experience."
- Dori Levanoni, First Quadrant.
"Currency markets are the largest of all financial markets and remain relatively liquid, even in the most turbulent of market environments. Despite this, currency is seen as an enigma – one which is different from the other markets. Regardless of one’s academic training, currency management requires a unique set of skills and expert knowledge. In “Foreign Exchange: A Practitioner’s Approach to the Market” the industry’s leading researchers in the foreign exchange market are brought together to provide the reader with a great tool-box for the management of currency."
- David Buckle, Principal Global Investors.