The Role of Currency in Institutional Portfolios

Momtchil Pojarliev and Richard M. Levich

Momtchil Pojarliev

Momtchil is a Senior Portfolio Manager on the Currencies team at FFTW where he focuses on generating alpha for portfolios as well as contributing to the investment process, both in the judgment and quantitative styles.  Momtchil also contributes to the growth and development of FFTW’s currency alpha strategy as a stand-alone product. He joined FFTW in 2013 and is based in New York.  
Prior to joining FFTW, Momtchil was a director and senior portfolio manager at Hathersage Capital Management. Before that he was head of currencies for Hermes Fund Managers. Prior to Hermes he was a senior FX portfolio manager at Pictet Asset Management. Momtchil began his investment career at Invesco Asset Management, first as a senior economist and then as a senior FX portfolio manager.  He has 14 years of investment experience.

Momtchil has advised various asset management firms, including PIMCO and Goldman Sachs Asset Management, in the area of currency return analytics. He has published extensively in finance and investment journals. Most recently, Momtchil has co-authored the book A New Look at Currency Investing, published by the Research Foundation of CFA Institute. He is a member of The Economic Club of New York and the Swiss Society for Financial Market Research. He currently serves on the Editorial Board of the Financial Analysts Journal.

Momtchil holds an MSc in finance from Vienna University of Economics and Business Administration (1998) and a PhD in financial econometrics from University of Basel (2001).  He is a current CFA charterholder.

Richard M. Levich

Richard is Professor of Finance and International Business and Deputy Chair of the Department of Finance at New York University's Leonard N. Stern School of Business. He is also a Research Associate with the National Bureau of Economic Research in Cambridge, Massachusetts and a founding editor of the Journal of International Financial Management and Accounting.

Professor Levich has been a visiting faculty member at many distinguished universities in the United States and abroad including Yale University, the University of Chicago, Ecole des Hautes Etudes Commerciales (HEC) in France, the Australian Graduate School of Management of the University of New South Wales, and City University Business School (Cass) in London. He has published more than 75 articles on various topics dealing with international finance, and is the author or editor of sixteen books. His most recent book is A New Look at Currency Investing (with Momtchil Pojarliev) published in 2012 by the Research Foundation of the CFA Institute.

Professor Levich received his Ph.D. from the University of Chicago.

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)