April 20 Bas Leerink, Team leader Global Implementations, presented Ortec Finance’s approach on how to deal with investment performance and currencies.

The webinar builds upon two earlier publications: The Currency Dimension (1/3) and Currency Overlay Attribution: A Practical Guide (2/3).

The webinar enabled around 60 participants to hear and learn:

  • About managing currency risk, whether it is within, or on top of, your portfolio, using the relevant theoretical frameworks, like amongst others Brinson Fachler and Karnosky & Singer
  • How to separately manage market and currency decisions and how to capture these in your attribution models
  • Which things to take into account when implementing an evaluation model in practice.

During the Q&A several questions were addressed such as “What data requirements this methodology has?”, “What is the reason behind application of different models for the currency part versus the market component?” and “How to handle the case where a currency overlay is specified at the top level for a multi-asset class portfolio where individual managers are given a 100% hedged mandate whereby they are able to choose a different hedge duration?”.

Missed it?

If you would like to see the recording and receive the presentation, please send an e-mail to Maurits van Joolingen via Maurits.vanJoolingen@ortec-finance.com.
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