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Currency Management

In: Quantitative Global Bond Portfolio Management

Author

Listed:
  • Gueorgui S. Konstantinov
  • Frank J. Fabozzi
  • Joseph S. Simonian

Abstract

Currencies play an important role in global bond portfolios because they constitute one of the major risks for fixed-income instruments. Currency risk appears via two channels. First, through the passive currency exposure that is present in bond portfolios simply as a result of holding bonds in foreign currencies. Second, currency risk may appear through active currency management where currency overlays are implemented in a portfolio with the objective of enhancing returns and minimizing risks. In this chapter, we provide a comprehensive overview of currency risk and active currency management. Included in our discussion are detailed formal accounts of various metrics for measuring currency risk and performance, as well as an overview of various active currency strategies.

Suggested Citation

  • Gueorgui S. Konstantinov & Frank J. Fabozzi & Joseph S. Simonian, 2023. "Currency Management," World Scientific Book Chapters, in: Quantitative Global Bond Portfolio Management, chapter 3, pages 67-101, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789811272578_0003
    as

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    More about this item

    Keywords

    Fixed-Income; Currency Management; Portfolio Management; Risk Management; Factors; Portfolio Optimization; Hedging; Portfolio Evaluation; Performance Attribution;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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