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Currency Overlay Attribution: A Practical Guide
Author: Jeroen Geenen, Marten Klok, and Elske van de Burgt, ORTEC
Price: $25.00

Detailed Description

Setting up a consistent and informative attribution analysis framework is not an easy task. As often, the devil is in the details. This is even more true when separate currency management enters the arena. In this paper we describe a consistent and interpretable framework to measure and evaluate the performance of the Investment Decision Process (IDP), when currency exposures are managed independently from market exposures. We address the question of how to evaluate the market and currency overlay IDP indvidually as well as how to combine the results.

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