“Structural advantages through the mandate of a dedicated currency overlay manager”

The mandate of one dedicated currency overlay manager, who implements a hedging strategy across all currency holdings and investment  vehicles, allows for a set-up that opens up extensive efficiency benefits. A central currency overlay goes far beyond the scope of a traditional asset management mandate. By creating an investment and trading structure, the professional and efficient management of FX positions is enabled.

“How tenor management enhances passive currency overlay programs”

In this paper, we will discuss a component of the passive currency overlay program that can help institutional investors reduce their cost of hedging or derive an additional alpha in the process of hedging their foreign currency exposure.

“Requirements for an FX overlay benchmark”

The diversity of investment objectives and FX overlay strategies implies a variety of appropriate benchmarks, but the criteria for a high-quality benchmark according to GIPS standards should be followed: A benchmark must be defined in advance and should adequately represent the mandate. At the same time, it must be unmistakable, transparently  measurable as well as investable in real terms.

“Short Volatility Strategies make Sense.”

The market distortions, caused by the COVID-19 pandemic have affected almost all asset classes and investment strategies. Due to their strategy inherent characteristics, short volatility concepts also suffered, some incurred significant losses.

„Short volatility risks: déjà vu?“

For many market participants and especially volatility investors, February 2018 provided an experience that’s been difficult to forget: within one day, stock volatility recorded a massive jump; in the wake of this, short volatility strategies recorded significant losses. Are short volatility strategies facing another jump in volatility in autumn 2019?

„Answers to a changed FX market structure“
The foreign exchange market has undergone significant structural changes in recent years. The liquidity structure has changed, since established market participants have less risk-bearing capacity due to regulatory reasons and have to react to the emergence of new market participants.

“Currency overlay management – systematic management of existing currency risks”
Foreign currency risks are often undesirable, but unavoidable side effects of an internationally diversified portfolio. In this INSIGHT we give you an overview of how currency risks can be managed through currency overlay strategies.

„The power of diversification in short volatility investing“
Reading about volatility/variance risk premium is mostly limited to equity markets. However, there is great benefit in harvesting the risk premium across other markets like fixed income or currencies.

“The phenomenon of the cross-currency basis spread: The real hedging costs”
The hedging costs in EUR/USD will increase further toward the end of the year by the cross-currency basis spread. This INSIGHT explains its implications for passive and active currency hedging strategies and how they can benefit from this development.

“How currency overlay strategies can benefit from artificial intelligence”
Increasing availability of data and ever-growing computational capacity have helped to advance artificial intelligence methods, whose effectiveness until recently had been relatively limited. In the light of these developments it has become increasingly attractive to exploit the potential of AI for the quantitative hedging approach.