The currency risk factor is considered worthless in the eyes of some investors. 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 now seems to be that both are true; it is a tactical asset class that should be strategically hedged.

In The Currency Dimension we take a closer look at the currency dimension from the perspective of performance measurement and attribution. How should we look at currency risk, how is it typically managed and what analytical frameworks do we have at our disposal to get better insight in the added value of currency decisions?

This 18 page paper contains the following chapters:

  • Introduction
  • Currency as an asset class
  • The Karnosky and Singer framework
  • Managing currency risk
  • A framework for performance attribution for currency overlay
  • Conclusion

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Want to know how PEARL takes the currency dimension into account?

Download our paper The Currency Dimension here. Contact us if you want to know more about Ortec Finance’s PEARL can help you manage the currency dimension.

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