Currency OverlayISBN: 978-0-470-85027-5
Hardcover
316 pages
November 2003
 This is a Print-on-Demand title. It will be printed specifically to fill your order. Please allow an additional 15-20 days delivery time. The book is not returnable.
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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.
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Trading
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