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| Author: | Binny, J. |
| Title: | The optimal benchmark for a currency overlay mandate |
| Journal: | Journal of asset management
2001 : JUN, VOL. 2:1, p. 22-34 |
| Index terms: | BENCHMARKING CURRENCY HEDGING PENSION FUNDS RISK |
| Language: | eng |
| Abstract: | Having decided to implement a currency overlay programme, a pension fund mst decide on the benchmark for that mandate. A careful assessment of an individual client's needs and risk preferences, both investment and behavioural, is essential. This paper summarises the alternatives, together with the research already performed on the subject, then presents a methodology for assessing a pension fund's optimum benchmark, which can be adapted to any base currency. |
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