A growing number of asset owners have adopted a centralized approach to managing their exposure to currency fluctuations through currency overlay programs.
This has, consequently, created the need for a framework that enables asset owners to assess how decisions within these currency overlay programs contribute to the fund’s total return.
In this practical guide, we describe how to develop an effective framework when analyzing total fund performance with a top-down decision-based attribution approach where currency exposures are managed independently from market exposures, covering how to:
- Evaluate market exposures and currency overlay separately
- Combine these together to decompose the fund’s total active return
- Compare an approach that uses virtually hedged returns with local returns or risk premiums
To access the whitepaper, please fill out the form at the bottom of this page
Currency from a performance measurement and attribution perspective
We also invite you to download our ‘Currency from a performance measurement and attribution perspective’ to learn more about the impact of currency movements within the context of performance measurement and attribution.
About PEARL
PEARL is Ortec Finance’s established performance measurement and attribution solution. It helps asset owners, asset managers and fiduciary managers to obtain deep insights through decision, currency, multi-asset, equity, fixed income and factor attribution models. PEARL combines proprietary decision and currency overlay attribution models with flexible and time dependent fund and benchmark hierarchies to calculate the added value of each investment decision. Its comprehensive analysis contributes to a feedback loop that enhances the overall investment decision framework.Performance measurement & attribution Currency overlay attribution
Contact
Oliver Henriquez
Sales Director, EMEA
Stefano SJ Lee
Managing Director - Asia PacificRelated Insights
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