Currency Overlay Attribution: A Practical Guide

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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 Yes when separate currency management enters the arena. We address the question of how to evaluate the market and currency overlay IDP individually as well as how to combine the results.

Author: Jeroen Geenen, Marten Klok, and Elske van de Burgt, ORTEC

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 Yes 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 individually as well as how to combine the results.

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