By Denis S. Karnosky
Introducing forex issues into portfolio research has implications for the way during which the underlying resources are evaluated. This monograph presents a unified framework for research of worldwide asset markets.
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Extra resources for Global Asset Management and Performance Attribution (The Research Foundation of AIMR and Blackwell Series in Finance)
Sample text
For example, relative currency exposures can be eliminated within each component of a global securities portfolio, but the aggregate portfolio may nevertheless incur sigmficant relative currency exposures. This conundrum would arise when currency allocation strategies are set at the asset-class level. Returning to the actual global balanced portfolio, the allocation strategy overweights non-U. S. S. equities by 11 percent. Assume that the weights for the Japanese markets within the Global Asset Management and Perfomzance Attribution equity and the bond components are neutral, equal to the respective asset classes' market capitalizations of 40 percent and 35 percent.
S. S. S. -dollar-denominated cash equivalents of 5 percent. S. equity Non-U. S. S. S. -equity underweight and a large non-U. S. -bond overweight. The non-U. S. S. -bond manager is provided with 25 percent of the portfolio to manage against a non-U. S. -bond benchmark. S. managers are charged with and perform in a manner that is consistent with beating their individual benchmarks. The non-U. -equity manager is particularly attracted to the U. K. S. S. Equity Index. Although the U. K. equity market may outperform the non-U.
Appendix B provides a full accounting of the strategy's interactions and their impact. S. S. -equity and -bond managers. S. S. exposure to 31 percent. Such active over- and underweights of the dollar are often the largest active currency allocation decisions in globally diversified pension plans, and although plan sponsors spend a lot of time in setting optimal hedge ratios within the non-U. S.