Currency Management : Concepts and Practices Book

Foreword.

Preface.

1. Terminology, Conventions, and Basic Relationships.

Quotation Conventions.

Spot and Forward Rates.

Currency Returns.

Implied Cross-Rates and Currency Returns.

Hedged and Unhedged Asset Returns.

Covered Interest Arbitrage and the Forward Premium.

Statistical Relationships: Expected Returns and Risk.

Summary.

2. Historical Perspective on Foreign Exchange Risk.

Major Historical Events in the Foreign Exchange Markets.

Empirical Tendencies of Exchange Rates.

Summary.

3. Hedging Currency Risk.

Constructing Symmetrical Hedges.

Constructing Asymmetrical Hedges.

Implementation Vehicles.

Summary.

4. Actively Managing Currencies to Enhance Return.

A General Model for Exploiting Views about Currency Returns.

How to Exploit the Forward Rate Bias.

How to Exploit Nonrandomness in Currency Returns.

Technical Analysis.

Summary.

5. Combining Return-Enhancement and Hedging Strategies.

Optimal Allocation of Asset and Currency Exposure.

Optimization Relative to a Benchmark.

Combining the Mean-Variance and Benchmark-Relative Approaches.

Extensions Beyond Simple Portfolios.

Summary.

6. Performance Attribution for Actively Managed Portfolios.

Performance Attribution When Underlying Asset Composition Is Constant.

Performance Attribution When Derivatives Are Used.

Summary.

7. Structural Models of Exchange Rate Determination.

Model Descriptions.

Empirical Tests of Structural Models.

Summary.

8. Commonly Asked Questions About Currency.

Hedging.

Appendix A: Key to Notion Used in the Text.

Appendix B: Summary of Basic Currency Relationships.

Selected References.

Theory and Empirical Evidence.

Investment Principles and Practice.