Currency Overlay / Wiley Finance Series (PDF)
(Sprache: Englisch)
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...
inherent in cross-border institutional investments. Exposure to
foreign currencies increases the volatility of their returns,
without increasing the returns themselves and academics...
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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
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
Inhaltsverzeichnis zu „Currency Overlay / Wiley Finance Series (PDF)“
List of boxes. Biography. Acknowledgements. 1. Introduction. 2. The Problem. 3. Currency Hedging. 4. Foreign Exchange Market - History and Structure. 5. Theory of Currency Hedging of International Portfolios. 6. Passive Currency Overlay. 7. Currency Overlay Benchmarks. 8. Overlaying Different Asset Classes. 9. Is the Currency Market Efficient? 10. Active Currency Overlay - Management Styles. 11. Active Currency Overlay - Evidence of Performance. 12. Implementing Currency Overlay. 13. Looking Ahead. References/Useful Reading. Appendix 1. Boundary Conditions for Forward Arbitrage. Appendix 2. Lognormal Returns. Appendix 3. AIMR¯® Report. Appendix 4. Sample Investment Guidelines. Index.
Autoren-Porträt von Neil Record
NEIL RECORD has spent the majority of his working life as acurrency overlay manager. He was educated at Oxford and London
Universities, and early in his career worked in the Bank of England
as an Economist. In 1983, he founded Record Currency (formerly
Treasury) Management, the firm he has Chaired and guided for twenty
years.
The author has been in the forefront of the development of
currency overlay since its inception, and is acknowledged as one of
the leading figures in the overlay industry. He has authored
numerous articles on currency and related topics, and is an
external MBA lecturer at the Judge Institute at Cambridge.
Bibliographische Angaben
- Autor: Neil Record
- 2003, 1. Auflage, 316 Seiten, Englisch
- Verlag: John Wiley & Sons
- ISBN-10: 0470871636
- ISBN-13: 9780470871638
- Erscheinungsdatum: 18.12.2003
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Sprache:
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