The role of currency in institutional porfolios
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Bibliographic Information
The role of currency in institutional porfolios
Risk Books, c2014
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The role of currency in institutional portfolios
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Includes bibliographical references and index
Description and Table of Contents
Description
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)
Table of Contents
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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