Structuring knowledge,
clarifying context.
FX Insights is aimed at institutional investors who seek to understand currency topics not only in terms of current market movements, but also in their structural, methodological and implementation-related interdependencies.
Some issues in currency management cannot be addressed within the framework of an ongoing FX Market Report. They require a detailed analysis of mechanisms, cost structures, management approaches and institutional implementation considerations. FX Insights brings together analyses, studies and assessments on currency management, FX Overlay and currency risks in institutional portfolios. The content addresses strategic, structural and operational questions across the full spectrum of currency management.
Explaining mechanisms, clearly presenting effects, preserving reference value.
The publications remain relevant beyond short-term market movements and serve as a reference for structural questions in institutional currency management.
The cross-currency basis spread phenomenon: assessing the true cost of hedging.-----------------------------------------------------------------------------------------------------Analysis of the composition of hedging costs in the EUR/USD currency pair, with particular focus on the cross-currency basis spread. The paper derives implications for currency hedging strategies and potential applications through synthetic positioning. As at: 13 November 2018
Currency Overlay Management – systematic management of existing currency risks.----------------------------------------------------------------------------------------------------- Assessment of currency risks as an independent risk driver in institutional portfolios and presentation of passive and active Currency Overlay strategies. Analysis of key influencing factors, implementation considerations and efficiency potential in systematic currency management. As at: 30 April 2019
Responses to a changed FX market structure.-----------------------------------------------------------------------------------------------------Analysis of structural changes in the FX market and their implications for liquidity, execution and trading processes. Presentation of 7orca’s approach to best execution, order execution, instrument selection and transaction cost analysis in Currency Overlay. As at: 6 June 2019
Structural advantages of a centralised Currency Overlay.-----------------------------------------------------------------------------------------------------Analysis of the structural advantages of centralised Currency Overlay Management for institutional portfolios. Presentation of efficiency potential, governance aspects and the separation of asset and currency management. As at: 14 October 2021
Efficient Currency Overlay without limiting the alpha potential of investment managers.-----------------------------------------------------------------------------------------------------Presentation of how a centralised Currency Overlay can efficiently manage currency risks without restricting investment managers’ sources of alpha. Assessment of different hedging approaches depending on investment style, benchmark reference and active currency positioning. As at: 12 May 2022
How artificial intelligence can support Currency Overlay strategies.----------------------------------------------------------------------------------------------------- Presentation of the use of artificial intelligence to further develop quantitative Currency Overlay strategies. Assessment of the potential of artificial neural networks for trend identification, data processing and model robustness.
The power of diversification in volatility strategies.-----------------------------------------------------------------------------------------------------Analysis of the volatility risk premium as an independent source of return and its role in institutional portfolios. Presentation of risk transfer through options and the diversification potential across equity, interest rate and currency markets. Assessment of strategy characteristics in the context of different market regimes. As at: 23 January 2019
Diverging developments in interest rate market volatility as an opportunity.-----------------------------------------------------------------------------------------------------Analysis of diverging volatility developments between US and European interest rate markets and their implications for harvesting volatility risk premia. Assessment of the market environment in the context of monetary policy uncertainty. As at: 7 June 2019
Volatility risks revisited.-----------------------------------------------------------------------------------------------------Analysis of the parallels between the volatility environment in 2018 and current market conditions. Assessment of the risks of an abrupt increase in volatility as well as the market structure and investor positioning. As at: 10 December 2019
The rationale for volatility strategies.-----------------------------------------------------------------------------------------------------Assessment of short-volatility strategies in institutional portfolios following the market dislocations of 2020. Clarification of misconceptions regarding diversification and risk, as well as the importance of risk management, transparency and manager experience. As at: 29 April 2020
Return generation in directionless markets.-----------------------------------------------------------------------------------------------------Presentation of how volatility risk premia strategies can generate stable returns in non-trending markets, including interest rate, currency and commodity markets. Differentiation from buy-and-hold approaches and expansion of the investable universe through non-directional strategies. As at: 15 March 2022
