Proprietary quantitative empirical and analytical research in currency markets.
These articles and reports deal with many of the frequently discussed aspects of currency overlay management.
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Active management in more than one asset and the role of correlations and provides a theoretical underpinning to the logic of currency overlay management specifically. More generally the paper also illustrates that the allocation of a portfolio to a suite of specialist managers rather than one generalist manager is optimal, largely irrespective of correlations. View »
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A discussion on allocation rules and a recommended approach for use in currency overlay addresses the problems of allocating amongst alternative currencies in an active management process. View »
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Options or forwards? It's all the same in the long run simplification of the decision to use options or forwards to hedge an unwanted currency exposure for investors with a long term horizon by illustrating that a sequence of option payoffs converge over time to a payoff that can be realised using forwards. view »
Research published by Adrian Lee & Partners on currency management.
- Diversification through International Money Markets
- A Practitioner's view : The importance of separating bonds and currencies
- Currency in International Investing
- International Asset and Currency Allocation (Active Asset Allocation)
- International Asset and Currency Allocation (Portfolio Management)
- International Asset and Currency Allocation (Handbook of Investing)
- Currency-Hedging Implementation Issues
- Optimal Currency Hedging Strategies
Book Title: Encyclopaedia of Investments
Chapter Page 899 to page 910
Author: Adrian F Lee
*Please note the copyright of this report belongs to Warren, Gorham & Lamont, Incorporated. View »
Book Title: International Bonds and Currencies
Journal November 19, 1985
Author: Adrian F Lee
*Please note the copyright of this report belongs to Dow Jones-Irwin publishers. View »
Book Title: Strategic Currency Investing
Chapter 8
Author: Adrian F Lee
*Please note the copyright of this report belongs to Probus Publishing company. View »
Book Title: Active Asset Allocation
Chapter 16
Author: Adrian F Lee
*Please note the copyright of this report belongs to Probus Publishing company. View »
Book Title: Journal of Portfolio Management
Journal Volume 14, Number 1
Author: Adrian F Lee
*Please note the copyright of this report belongs to Institutional Investor, Incorporated. View »
Book Title: Handbook of International Investing
Chapter 12
Author: Adrian F Lee
*Please note the copyright of this report belongs to Probus Publishing company. View »
The appropriate strategy adjustment for international investment managers whose normal currency exposure is hedged; the relative benefits of adding a currency overlay to both equity and fixed income portfolios; and the transaction costs and cash flows associated with currency hedging
Book Title: The Currency Hedging Debate
Chapter 10
Author: Adrian F Lee
*Please note the copyright of this report belongs to IFR Publishing Limited. View »
Discussion of the strategies available to investors in international fixed income markets, including the optimal construction of an asset portfolio, and a separate optimal currency portfolio
Book Title: Handbook of International Investing
Chapter 24
Author: Adrian F Lee
*Please note the copyright of this report belongs to Probus Publishing company. View »
Minutes from a round table discussion involving leading consultants in the UK pension industry and currency overlay managers. If you would like a copy of this report please contact us and we will make arrangements to send it to you.
Our global economic views.
Our thoughts and expectations for the major global economies. This report will be updated monthly.
Press reports and comments by Adrian Lee & Partners and Lee Overlay Partners
- The Strategic Exposure Decision
- Currency Overlays aren't just for Stocks Anymore
- Currency Manager warns Sponsors to look at Market Impact
- Currency Overlay Winning Recognition among Plan Sponsors and Consultants
A discussion on currency exposure in international investment
Publication: Investment & Pensions Europe
Date: September 2000
Author: Adrian F Lee
*Please note the copyright of this article belongs to Investment & Pensions Europe.
If you would like a reprint please contact us
Publication: Pensions & Investments
Date: May 1, 2000
If you would like a reprint please contact us
Publication: Pensions & Investments
Date: January 8, 2001
*Please note the copyright of both of these articles belongs to Crain Communications Incorporated.
If you would like a reprint please contact us
Publication Pensions & Investments
Date January 8, 2001
*Please note the copyright of both of these articles belongs to Crain Communications Incorporated. View »
