The Role of Currency in Institutional Portfolios

9781782720942: The Role of Currency in Institutional Portfolios
Vom Verlag:

The Role of Currency in Institutional Portfolios offers a comprehensive description of currency investing and will re-evaluate the potential role of currencies in institutional portfolios. The empirical evidence suggests that institutional investors are persistently failing to achieve their goal of superior returns or "beating the market". This book focuses on currencies, an overlooked market segment, and investigates the question of how currency investing could be part of the solution of achieving the required investment returns. Chapters include: Alternative Currency Hedging Strategies with Known Covariances: Wei Chen (State Street Associates), Mark Kritzman (Windham Capital Management) and David Turkington (State Street Associates) The Carry Trade - Theory, Strategy and Risk Management: Mike Rosenberg (Bloomberg) The Currency Investing Process: Managing G10 Currencies: Ulf J. Lindahl (A.G. Bisset Associates, LLC) Currency Management Styles: Ten Years Later: James Binny (Lloyds Commercial Bank) The Future of Currency Investing in Institutional Portfolios: Michael Melvin (BlackRock)

Über den Autor:

Momtchil Pojarliev Momtchil is a Senior Portfolio Manager on the Currencies team at FFTW where he focuses on generating alpha for portfolios as well as contributing to the investment process, both in the judgment and quantitative styles. Momtchil also contributes to the growth and development of FFTW's currency alpha strategy as a stand-alone product. He joined FFTW in 2013 and is based in New York. Prior to joining FFTW, Momtchil was a director and senior portfolio manager at Hathersage Capital Management. Before that he was head of currencies for Hermes Fund Managers. Prior to Hermes he was a senior FX portfolio manager at Pictet Asset Management. Momtchil began his investment career at Invesco Asset Management, first as a senior economist and then as a senior FX portfolio manager. He has 14 years of investment experience. Momtchil has advised various asset management firms, including PIMCO and Goldman Sachs Asset Management, in the area of currency return analytics. He has published extensively in finance and investment journals. Most recently, Momtchil has co-authored the book A New Look at Currency Investing, published by the Research Foundation of CFA Institute. He is a member of The Economic Club of New York and the Swiss Society for Financial Market Research. He currently serves on the Editorial Board of the Financial Analysts Journal. Momtchil holds an MSc in finance from Vienna University of Economics and Business Administration (1998) and a PhD in financial econometrics from University of Basel (2001). He is a current CFA charterholder. Richard M. Levich Richard is Professor of Finance and International Business and Deputy Chair of the Department of Finance at New York University's Leonard N. Stern School of Business. He is also a Research Associate with the National Bureau of Economic Research in Cambridge, Massachusetts and a founding editor of the Journal of International Financial Management and Accounting. Professor Levich has been a visiting faculty member at many distinguished universities in the United States and abroad including Yale University, the University of Chicago, Ecole des Hautes Etudes Commerciales (HEC) in France, the Australian Graduate School of Management of the University of New South Wales, and City University Business School (Cass) in London. He has published more than 75 articles on various topics dealing with international finance, and is the author or editor of sixteen books. His most recent book is A New Look at Currency Investing (with Momtchil Pojarliev) published in 2012 by the Research Foundation of the CFA Institute. Professor Levich received his Ph.D. from the University of Chicago.

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