Currency risk is often treated as a secondary consideration in typical investment approaches, as it does not carry a risk premium.
However, for large scale multi-asset portfolios that include significant investments in assets not denominated in their base currency, any exchange rate movements can materially impact total fund returns.
Against this backdrop, coupled with increasing currency volatility, a growing number of asset owners have designed currency hedging strategies.
In this whitepaper, we examine currency as an asset class within the context of performance measurement and attribution, covering:
- The implications when currency is considered as an asset class
- Managing currency risk in the investment process via hedging
- Developing a currency overlay framework to centralize currency decisions
To access the whitepaper, please fill out the form at the bottom of this page
PEARL’s currency overlay attribution: A practical guide
We also invite you to download our ‘PEARL’s currency overlay attribution: A practical guide’ to learn how our performance measurement and attribution solution supports asset owners to measure and analyze currency decisions within a currency overlay program.
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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