Record Currency Overlay

1. Auflage 2003
ISBN: 978-0-470-87163-8
Verlag: John Wiley & Sons
Format: PDF
Kopierschutz: Adobe DRM (»Systemvoraussetzungen)

E-Book, Englisch, 316 Seiten, E-Book

Reihe: Wiley Finance Series

Currency overlay is the management of the currency exposureinherent in cross-border institutional investments. Exposure toforeign currencies increases the volatility of their returns,without increasing the returns themselves and academics andconsultants recommended that the currency exposure should bestripped out of international portfolios and eliminated as far aspracticable.
This book provides a comprehensive description of currencyoverlay, its history and possible future developments and growth,the reason for its emergence, the debates and controversies, thedifferent styles of currency management, and the industry'sperformance track record.
This is a subject of international appeal and is an area ofparticular growth potential for institutional investors. Coverage includes:
* The theoretical case for eliminating currency risk ininternational portfolios
* The interplay between asset returns and currency returns, andthe 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 (currencyalpha)
* Uses diagrams, charts, tables and explanatory boxes to explainconcepts

Autoren/Hrsg.

Record, Neil

Inhaltsverzeichnis

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.

Über Autor(innen)

NEIL RECORD has spent the majority of his working life as acurrency overlay manager. He was educated at Oxford and LondonUniversities, and early in his career worked in the Bank of Englandas an Economist. In 1983, he founded Record Currency (formerlyTreasury) Management, the firm he has Chaired and guided for twentyyears.
The author has been in the forefront of the development ofcurrency overlay since its inception, and is acknowledged as one ofthe leading figures in the overlay industry. He has authorednumerous articles on currency and related topics, and is anexternal MBA lecturer at the Judge Institute at Cambridge.