Foreign Exchange

Book description

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.

Book details

ISBN

Book 9781904339526 / EBook9781908823106

Publish date

2 Feb 2009

Format

Paperback

Size

155mm x 235mm

Editor biography

Amy Middleton

Amy Middleton is vice president in the GFX Portfolio and Risk Strategy Group (PaRs) at Bank of America, London. Amy has spent the last seven years working as a quantitative analyst in the currency markets for institutional clients such as hedge funds, pension funds, real money managers and fund of funds. Her research has focused on developing systematic directional trading models, analysis of currency exposures and the formulation of appropriate hedging strategies.

Her specialisation is currency overlay. Amy has had many of her articles published in international periodicals and is frequently invited to speak at conferences on the topic of currency.

Table of contents

Foreword

Preface

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?

Amy Middleton

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

CalPERS

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

Fatih Yilmaz

Bank of America

8 Currency Management: A Diversified Source of Returns

Thanos Papasavvas

Investec Asset Management

9 Investing in Emerging Markets’ Currencies: Where We Came

From and Where We Are Going

Guillermo Ossés

PIMCO

10 Investigating Moving Averages Rules: A Stochastic Simulation Approach

Fatih Yilmaz

Bank of America

11 Energy Efficiency and Currencies: A Systematic Investment

Strategy

Alessio de Longis

OppenheimerFunds, Inc.

12 Hedge Fund Performance Statistics: Fairytale or Reality?

Amy Middleton

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

Bill Muysken

Thames River Capital LLP

15 How to Benefit from International Currency Exposure

Claire Dissaux

Millennium Global

16 Active Currency: Worth the Risk?

Jeppe Ladekarl and Samagan Nasypbek

World Bank

Testimonials

"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.