The Role of Currency in Institutional Portfolios 2014 - Product Image

The Role of Currency in Institutional Portfolios 2014

  • ID: 3063510
  • Book
  • Region: Global
  • Risk Books
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In the current financial environment in which institutional investors are failing to achieve their goal of superior returns or beating the market, investors are rethinking asset allocation as a whole.

The potential role for currency in institutional portfolios has been much discussed, yet overlooked. Finally this market segment is coming to the foreground of the investment landscape. Editors and experts in the area of currency research, Momtchil Pojarliev (Fischer Francis Trees & Watts) and Richard Levich (New York University Stern School of Business), present contributions from authorities in the FX sphere of the investment world as well as the more traditional sectors, providing a balanced perspective to institutional portfolios.

The Role of Currency in Institutional Portfolios offers a comprehensive description of currency investing and will re-evaluate the potential role of currencies in institutional portfolios.

The empirical evidence suggests that institutional investors are persistently failing to achieve their goal of superior returns or “beating the market”. This book focuses on currencies, an overlooked market segment, and investigates the question of how currency investing could be part of the solution of achieving the required investment returns.

Chapters include:

- Alternative Currency Hedging Strategies with Known Covariances: Wei Chen (State Street Associates), Mark Kritzman (Windham Capital Management) and David Turkington (State Street Associates)
- The Carry Trade - Theory, Strategy and Risk Management: Mike Rosenberg (Bloomberg)
- The Currency Investing Process: Managing G10 Currencies: Ulf J. Lindahl (A.G. Bisset Associates, LLC)
- Currency Management Styles: Ten Years Later: James Binny (Lloyds Commercial Bank)
- The Future of Currency Investing in Institutional Portfolios: Michael Melvin (BlackRock)

From passive currency management to currency overlay, the importance of currency management in different asset classes, and a comprehensive and sophisticated account of benchmarking currency strategies, The Role of Currency in Institutional Portfolios is a must-read for institutional investors, asset managers and hedge funds, investment banks and academics alike.
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Foreword
Roger Gray (CIO at Universities Superannuation Scheme)

Chapter 1: Introduction
Momtchil Pojarliev (Fischer Francis Trees & Watts) and Richard Levich (New York University Stern School of Business)

Part 1 - Currency Exposure in Institutional Portfolios

Chapter 2: The Currency Conundrum: Regret vs. Optimal Hedging
Mark Anson (Acadia Investment Management)

Chapter 3: Global Asset Allocation and Optimal USD Hedging
Daniel Brehon (Deutsche Bank)

Chapter 4: Alternative Currency Hedging Strategies with Known Covariances
Wei Chen (State Street Associates), Mark Kritzman (Windham Capital Management) and David Turkington (State Street Associates)

Chapter 5: Strategic Asset Allocation and Currency Betas
Ross Kasarda and Steven Peterson (Virginia Retirement System)

Chapter 6: Separating Currency Returns from Asset Returns in Theory and Practice
Conscious Currency and Beyond: Ian Toner (Wurts & Associates)

Part 2 - Currency Investment Strategies

Chapter 7: Economic Data Surprises and Currency Alpha
Alessio de Longis and Eren Tufekci (Oppenheimer Funds)

Chapter 8: Is Trend Following in Foreign Exchange Markets Running Out of Fashion?
Pierre Lequeux (Independent Consultant)

Chapter 9: The Carry Trade - Theory, Strategy and Risk Management
Mike Rosenberg (Bloomberg)

Chapter 10: Carry Trades in Emerging Markets
John Bilson (Illinois Institute of Technology)

Chapter 11: Investing in Emerging Market Currencies: A Rewarded Risk
Javier Corominas (Record Currency Management) and Jonathan Scott

Part 3 - Currency Investment Process

Chapter 12: The Currency Investing Process: Managing G10 Currencies
Ulf Lindahl (A.G.Bisset)

Chapter 13: Systematic Currency Trading
Jolie de Miranda (Lynx Asset Management)

Chapter 14: A Discretionary Approach for Currency Investing
Adnan Akant (Fischer Francis Trees & Watts)

Chapter 15: Due Diligence as a Source of Alpha
Chris Schelling (Kentucky Retirement Systems)

Part 4 - Global Markets and the Future of Currency Investing

Chapter 16: Currency Forecasting: Generating Views about Foreign Exchange
Stephen Jen (SLJ Macro Partners)

Chapter 17: Exchange Rates, Risk Premia, and Inflation Indexed Bond Yields
Richard Clarida (Columbia University, NBER, and PIMCO) and Shaowen Luo (Columbia University)

Chapter 18: Currency Investing: A Risk Premium Approach
Aysu Secmen, Charles Wu and Pierre-Alexandre Noual (Citigroup)

Chapter 19: Currency Management Styles: Ten Years Later
James Binny (Lloyds Commercial Bank)

Chapter 20: The Future of Currency Investing in Institutional Portfolios
Michael Melvin (BlackRock)
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