Currency fluctuations are being placed under a growing spotlight from asset owners due to increased portfolio diversification across international markets, leading to the greater exposure to non-domestic currencies. This, in turn, is having a more significant impact on total portfolio returns.
Within this context, many asset owners seeking how to effectively hedge against currency fluctuations and actively manage their currency positions have undertaken a currency overlay program with multiple decision layers. To better understand how the different decisions within these layers are individually impacting the portfolio’s overall performance, they are often looking to further analyze these decisions, ideally by applying a similar approach to other investment strategies within the Investment Decision Process (IDP).
In this webinar recording, Joost Meerwijk and Jonathan Frew from our Investment Performance team discussed:
- The importance of isolating the impact currency has on total portfolio returns, and how this can be done
- How to practically manage currency effects explicitly, within an overlay program context
- How to develop meaningful benchmarks to determine the value of individual currency decisions, and how this differs to asset class-related investment decisions
- How to create an effective attribution analysis framework that measures currency decisions made as part of a currency overlay process
- How the results from a market decision and a currency overlay attribution analysis can be combined, to help asset owners understand the critical link between the two.
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Contact
Elske van de Burgt
Managing Director Investment Performance
Stefano Lee
Managing Director - Asia Pacific
Oliver Henriquez
Sales Director, EMEARelated Insights
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