Currency Alpha Revisited
Rogerscasey
International Equity Research
Darien, CT
The case for currency alpha mandates, implementation issues and a description of the major strategies
by Andrew Taylor
This paper serves as a continuation and enhancement of our previous white paper on active currency management. It endeavors to provide the interested investor with more explicit, yet relatively easy to understand, detail with regard to the portfolio construction, performance, and implementation involved with currency pure alpha programs. The paper also includes a technical appendix that provides meaningful graphic and written explanation of major currency trading styles.
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