The Role of Currency in Institutional Portfolios
First published:
ISBN: 9781782720942
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The Currency Investing Process: Managing G10 Currencies
Ulf J Lindahl
A Case for Currency in Institutional Portfolios
The Currency Conundrum: Regret Versus Optimal Hedging
Global Asset Allocation and Optimal US Dollar Hedging
Alternative Currency Hedging Strategies with Known Covariances
Strategic Asset Allocation and Currency Betas
Separating Currency Returns from Asset Returns in Theory and Practice: Conscious Currency and Beyond
Economic Data Surprises and Currency Alpha
Is Trend Following in Foreign Exchange Markets Going Out of Fashion?
The Carry Trade: The Essentials of Theory, Strategy and Risk Management
Carry Trades in Emerging Markets
Investing in Emerging Market Currencies: A Rewarded Risk
The Currency Investing Process: Managing G10 Currencies
Systematic Currency Trading
A Discretionary Approach to Currency Investing
Due Diligence as a Source of Alpha
Currency Forecasting: Generating Views about Foreign Exchange
Exchange Rates, Risk Premia and Inflation-indexed Bond Yields
Currency Investing: A Risk Premium Approach
Currency Management Styles: Ten Years On
The Future of Currency Investing in Institutional Portfolios
The G10 currencies are the most actively traded currencies in the foreign exchange market, and are generally included in most currency investment portfolios in one way or another unless a currency strategy is dedicated to investing exclusively in EM or exotic currencies. The deep liquidity in the G10 currencies has permitted several specific investment styles to be developed that take advantage of features in the currency market that have proved to persist over long periods of time. This chapter will define the G10 currencies, and provide measures of their liquidity and correlation with each other. It will also describe common strategies that currency managers employ, how risk is managed and also look at performance measurements.
MARKET LIQUIDITY
The G10 currencies are the US dollar (USD), the euro (EUR), the Japanese yen (JPY), the UK pound sterling (GBP), the Swiss franc (CHF), the Norwegian krone (NOK), the Swedish krona (SEK), the Canadian dollar (CAD), the Australian dollar (AUD) and the New Zealand dollar (NZD). An investor who operates with one of the G10 currencies as their base currency and measures investment returns against it has a universe of nine currencies that can
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