Currency plays an interesting role in investing. Some consider it a useless source of risk as it bears no risk premium; hence it dilutes international returns and therefore needs to be hedged. Others consider currency an asset class in its own right due to the structure in the currency movements. The consensus seems to be that both is true; it is a tactical asset class that should be strategically hedged.
This has led to the adoption by institutional investors of currency overlay management programs in the 1980s. In the early nineties the CFA Institute sponsored research by Denis Karnosky and Brian Singer aimed at providing a comprehensive analytical framework for measuring currency decisions.
In practice, however, the Karnosky & Singer model has proved to be very difficult to apply, especially if the market and currency decisions are made by different managers. In this paper we propose to extend the model to make it especially suitable for institutional investment portfolios.
Related Insights
-
25 March 2024Qantas Super partners with Ortec Finance to implement PEARL investment performance software
Qantas Super an Australian corporate superannuation fund with $8.9 billion in assets, has integrated Ortec Finance’s performance attribution platform, PEARL, to enhance their performance and attribution capabilities.
-
19 March 2024In-House Student Day: Thursday 30 May, 2024 - Rotterdam
Calling all students! Join us for an unforgettable day of insights and inspiration at our exclusive In-House Student Day.
Asset Management / Banks Retail and Private / Housing Associations / Independent Financial Advisors / Insurance Companies / Municipalities / Pension Funds / Sovereign Wealth Funds / Wealth Management / Asset Allocation / Asset Liability Management / Climate ESG Solutions / Economic Scenario Generator / /Ormetrics/Corporate/Home/Solutions/Goal Based Planning / Performance Measurement and Attribution / Real Estate Financial Planning / /Ormetrics/Corporate/Home/Solutions/Real Estate Management / Real Estate Financial Planning / /Ormetrics/Corporate/Home/Solutions/Retirement Planning / Risk neutral scenarios / Strategic Risk Management / /Ormetrics/Corporate/Home/Solutions/Wealth Planning and Monitoring -
29 February 2024Client Conference 2024 program is released
May 15 & 16, 2024 Ortec Finance’s clients gather in Amsterdam for an in-person Client Conference. The event takes place in the iconic Eye Film Museum.
Asset Management / Banks Retail and Private / Independent Financial Advisors / Insurance Companies / Pension Funds / Sovereign Wealth Funds / Wealth Management / Asset Allocation / Asset Liability Management / Climate ESG Solutions / Economic Scenario Generator / /Ormetrics/Corporate/Home/Solutions/Goal Based Planning / Performance Measurement and Attribution / /Ormetrics/Corporate/Home/Solutions/Retirement Planning / Risk neutral scenarios / Strategic Risk Management / /Ormetrics/Corporate/Home/Solutions/Wealth Planning and Monitoring -
23 February 2024Ortec Finance's 2023 customer satisfaction survey shows high scores
This consistent positive feedback reflects the strong rapport we share with our clients around how our solutions solve their challenges.
Asset Management / Banks Retail and Private / Housing Associations / Independent Financial Advisors / Insurance Companies / Municipalities / Pension Funds / Sovereign Wealth Funds / Wealth Management / Asset Allocation / Asset Liability Management / Climate ESG Solutions / Economic Scenario Generator / /Ormetrics/Corporate/Home/Solutions/Goal Based Planning / Performance Measurement and Attribution / Real Estate Financial Planning / /Ormetrics/Corporate/Home/Solutions/Real Estate Management / Real Estate Financial Planning / /Ormetrics/Corporate/Home/Solutions/Retirement Planning / Risk neutral scenarios / Strategic Risk Management / /Ormetrics/Corporate/Home/Solutions/Wealth Planning and Monitoring / Vastgoedfinancien / Vastgoedsturing / Vastgoedwaardering -
12 February 2024PRESS RELEASE: Ortec Finance appoints Hens Steehouwer as Chief Innovation Officer
Hens will responsible for integrating climate risk and expanding AI capabilities
Asset Management / Banks Retail and Private / Housing Associations / Independent Financial Advisors / Insurance Companies / Municipalities / Pension Funds / Sovereign Wealth Funds / Wealth Management / Asset Allocation / Asset Liability Management / Climate ESG Solutions / Economic Scenario Generator / /Ormetrics/Corporate/Home/Solutions/Goal Based Planning / Performance Measurement and Attribution / Real Estate Financial Planning / /Ormetrics/Corporate/Home/Solutions/Real Estate Management / Real Estate Financial Planning / /Ormetrics/Corporate/Home/Solutions/Retirement Planning / Risk neutral scenarios / Strategic Risk Management / Vastgoedfinancien / Vastgoedsturing / Vastgoedwaardering / /Ormetrics/Corporate/Home/Solutions/Wealth Planning and Monitoring -
22 August 2023Elske van de Burgt sit down with Pat and Doug for Episode 7 of TSG Time podcast
Listen to Elske van de Burgt on Episode 7 of TSG Time podcast where she talks about the 2002 Dietz Award-winning article, “Decision-based Evaluation of the Performance of a Hierarchically Structured Investment Process,” which she co-authored with Jeroen Geenen, Marc Heemskerk, and Michiel Heerema, and provides some information on her upcoming speaking engagements and her research process.