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The Journal of Alternative Investments

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Primary Article

Generating Alpha from Currency Programs

Michael Huttman and Louise Harris
The Journal of Alternative Investments Spring 2006, 8 (4) 48-54; DOI: https://doi.org/10.3905/jai.2006.627850
Michael Huttman
Chief Investment Officer, Millennium Global Investments Ltd. London, UK.
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  • For correspondence: mhuttman@millenniumglobal.com
Louise Harris
Currency Overlay Research and Development Manager, Millennium Global Investments Ltd., London, UK.
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  • For correspondence: lharris@millenniumglobal.com
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Abstract

Currency overlay programs provide a means to manage desired currency exposure without disrupting the way in which the underlying assets are managed. Separately direct investment into active manager currency programs may also provide return and risk returns similar to traditional fixed income investments. Based on their own experience, the article illustrates how the use of fundamental factors and market dynamics may produce superior risk adjusted returns for active currency investment.

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The Journal of Alternative Investments
Vol. 8, Issue 4
Spring 2006
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Generating Alpha from Currency Programs
Michael Huttman, Louise Harris
The Journal of Alternative Investments Mar 2006, 8 (4) 48-54; DOI: 10.3905/jai.2006.627850

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Generating Alpha from Currency Programs
Michael Huttman, Louise Harris
The Journal of Alternative Investments Mar 2006, 8 (4) 48-54; DOI: 10.3905/jai.2006.627850
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