Currency – Page 12
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Currency Management: Below the volatility surface
Lorenzo Naranjo and Carmen Stefanescu discuss the value of extracting foreign exchange rate expectations from FX option prices
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Currency Management: Minding the pennies and cents
Pension funds are learning that currency costs need to be managed, writes Gerry O’Kane
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Currency Management: Yen and now
Through the 1990s and most of the 2000s the Japanese yen funded a host of the world’s most lucrative carry trades. Daniel Ben-Ami examines whether recent fixes mean that the euro has already shuffled off its role as ‘the yen for the 2010s’
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Special ReportCurrency Management: Still overpaying for FX?
An agency approach to FX execution promises substantial savings. Lloyd Raynor suggests that it is time to give this area more attention
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Currency Management: More than one way to play the renminbi
Theory and history suggest that China’s currency should appreciate along with its economic growth. But Charlotte Moore finds investors looking for other routes besides the fast-growing ‘dim-sum’ market
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Currency: The world rebalances
Do not be surprised when today’s immense macroeconomic stresses find an outlet in global currency markets, writes Anthony Harrington. And if you can, ready yourself to take advantage
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Currency: The FX of turbulence
Currency alpha management is not only well-suited to turbulent markets, argues Jay Moore. It also responds well to stress testing against extreme scenarios
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Currency: The future (or not) of the euro
A strategically-placed relative has left Neil Record with the lowdown on how the euro crisis is perceived at the top table of European politics. Here’s what he learned
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Currency: Riding the ‘Redback’
China’s renminbi is set to become one of the world’s major reserve currencies. Philip Poole anticipates more supply of RMB-denominated bonds to foreign investors to fuel that project O
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Currency: The future of the renminbi
Routes other than ‘dim sum’ bonds might make more sense for exposure to China’s currency over the short term, suggests Hayden Briscoe
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Currency: A game of relativity
The Swiss National Bank’s most recent intervention brought blessed relief to Switzerland’s pension funds. Emma Cusworth assesses the trade-off between capitulation to haven hunters and rising inflation
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Currency: The real thing?
Using emerging market currencies to exploit the ‘Balassa-Samuelson’ hypothesis is a seductive idea, writes Martin Steward. But it might not work in a new world of ‘inflation tolerance’
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Currency: Coming together in a crisis
Far from prising the euro-zone apart, Frank Velling argues that current traumas will bind members closer together
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Currency: Keep an eye on your weighting
The Big Mac index tells you nothing about your need to diet, but might help to value currencies. Matthew Craig looks at the more technical version, ‘PPP’
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Currency: Steering for safety
Has the financial crisis changed investor perceptions about safe havens? Christine Senior looks at the question in the FX context
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Special ReportCurrency: Common currency
Portfolio engineering with FX exposures would be much simpler if we could identify its beta. Martin Steward looks at the range of candidates
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News
Synthetic inflation options 80% cheaper than caps, says Pimco's Worah
GLOBAL – Replicating optionality on inflation using the US dollar swaps market in recent years would have incurred one-fifth of the cost of buying inflation caps, according to research by PIMCO.
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Sound FX
It is not certain whether the currency risk of an equity portfolio can be hedged effectively. Martin Steward assesses this and pension funds’ changing approaches to currency risk
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Use some discretion
In a volatile environment, systematic quantitative styles of currency management struggle to find their footing. Fundamentals-based strategies provide the best alpha-generation and preservation opportunities, argues Mark Farrington
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Gold: currency of last resort?
It has been years since the world abandoned the gold standard, but now, for many institutional investors, allocating to gold has become about currency and inflation hedging, writes Maha Khan Phillips
