Generating Alpha from Currency Programs

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.

TOPICS: Currency, fixed income and structured finance, analysis of individual factors/risk premia