Currency Hedged Benchmark Replication: Challenges and Improvements

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Currency exposure has quickly moved to the forefront of portfolio risks that the investment management community can no longer ignore.  The combination of increased volatility and a renewed focus on transparent performance attribution has driven investment managers to develop currency hedged products to complement the range of existing unhedged strategies.

Authors: Jordan Alexiev, CFA Steve Fenty and Jay Moore, CFA

Currency exposure has quickly moved to the forefront of portfolio risks that the investment management community can no longer ignore.  The combination of increased volatility and a renewed focus on transparent performance attribution has driven investment managers to develop currency hedged products to complement the range of existing unhedged strategies.

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