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This volume provides comprehensive coverage of currency overlay management in investment portfolios while alerting you to all of the various methods and models you will need to stay at the forefront of this challenging field. The author provides an objective analysis of the various tools available for currency management as well as examines the practical applications of the theories that are discussed. In addition, practical examples are supported by clear diagrams, figures and tables making the text highly accessible even to those who are new to the area of currency risk. Topics covered include: defining and decomposing currency returns, foreign exchange research and choice of currency management styles, optimisation and hedge ratio, benchmark design and performance measurement, option pricing theory and dynamic hedging, emerging market currencies, liquidity, e-commerce and more.

忻海，浙江鄞縣人，隨父母支邊在甘肅蘭州長大。幼時貪玩，長大以後總想賴在學校裏，先後獲得中國科技大學信息科學係學士、倫敦政治經濟學院經濟學碩士、倫敦帝國理工大學金融學博士。

博士畢業後惶惶然中，在咖啡館偶遇瑞士銀行倫敦總裁，於是在倫敦賣身瑞銀十年，曾就任瑞銀投資銀行的外匯部和資本市場部，負責金融工程。任執行董事；現任法國巴黎銀行資産管理部外匯重置業務亞太區主管、董事總經理，統領屬下兩人半。最得意的成就是在英國廣播公司中文部任時事節目編輯和英語教學節目主播（四年），還在倫敦開過一個豆腐工廠（作坊），做齣的百葉超好吃。

著有《白話金融投資》和currency Overlay：A Practical Guide（《外匯重置：實用指南》，英文版），後者是金融行業微不足道的一個子行業的權威著作，在颱灣見過盜版版本。

業餘喜歡排球、旅遊和美食（開豆腐廠的動機）。目前居住在中國香港。

CHAPTER 1 INTRODUCTION
1.1 A brief history of modern currencies 2
1.2 Some facts about the foreign exchange market 4
1.3 What is special about currencies? 7
1.4 Foreign exchange risk management and currency overlay 18
1.5 About this book 34
CHAPTER 2 A PRIMER ON CURRENCY RISK
2.1 Introduction 39
2.2 Defining and decomposing currency returns 40
2.3 A simple descriptive tour of currency risks 50
2.4 Choice of currency management styles 62
2.5 Risk separation and risk responsibility 69
Appendix 2A: Uncovered interest rate arbitrage 71
Appendix 2B: The correlation triangle 72
Appendix 2C: Forecast, forward and no-arbitrage price 74
Appendix 2D: Risk measures 75
Appendix 2E: Co-dependence 79
CHAPTER 3 CURRENCY OVERLAY MANAGEMENT
3.1 Introduction 85
3.2 Origins and development of currency overlay 86
3.3 Definitions of currency overlay 86
3.4 What an overlay process looks like in practice 90
3.5 Advantages of employing currency overlay 93
3.6 Trends and opportunities in currency overlay 95
3.7 Currency overlay managers – what do they do? 98
3.8 Historical performance 105
3.10 Trading styles 119
3.11 Overlay and prime brokerage 121
Appendix 3A: A typical overlay mandate 124
Appendix 3B: Currency overlay services – the big players 135
CHAPTER 4 FOREIGN EXCHANGE RESEARCH AND THE
CHOICE OF CURRENCY MANAGEMENT STYLE
4.1 Introduction 143
4.2 Purchasing power parity (PPP) based models 145
4.3 Back to fundamentals: macroeconomic models of foreign 149
exchange determination
4.4 Technical analysis 155
4.5 Quantitative models 158
4.6 Some other practicalities 185
4.7 Summary: Relevance of forecast models in a portfolio management context 188
Appendix 4A: Central bank intervention 189
Appendix 4B: Foreign exchange and cross-border merger and acquisition announcements 190
CHAPTER 5 OPTIMISATION AND HEDGE RATIOS
5.1 Introduction 197
5.2 CAPM and currencies 198
5.3 CAPM, foreign exchange hedging and overlay 204
5.4 Global optimisation and the role of currency 205
5.5 Hedge ratios 210
5.6 Asset–liability optimisation 221
5.7 Currency basket hedging 223
5.8 Sector-based investment and currency management 225
CHAPTER 6 BENCHMARK DESIGN AND PERFORMANCEMEASUREMENT
6.1 Introduction 229
6.2 Setting a good benchmark 230
6.3 Customised benchmarks: risk separation and risk responsibility 232
6.4 Dissecting currency returns 234
6.5 The currency surprise approach 235
6.6 The excess return approach 239
6.7 Holding-based benchmarks 241
6.8 Adjustment style 247
6.9 Other practical considerations 253
6.10 Performance-based benchmarks 263
CHAPTER 7 OPTION PRICING THEORY AND DYNAMIC HEDGING
7.1 Introduction 267
7.2 Option replication and dynamic hedging 268
7.3 Transaction costs and option replication 271
7.4 Portfolio insurance 272
7.5 The redundancy of options 275
7.6 Skews and smiles 278
7.7 Trading opportunities in the options market 281
7.8 Some volatility-based trading schemes 290
7.9 Speaking Greek – some closing comments 293
Appendix 7A: Using a forward volatility agreement to take a position on volatility 293
CHAPTER 8 EMERGING MARKET CURRENCIES
8.1 Background 297
8.2 Special characteristics of emerging market currencies 298
8.3 Forward bias and emerging market currencies 301
8.4 Implied volatility 304
8.5 Other related issues 308
8.6 Summary 312
Appendix 8A: Major emerging market currencies 312
Appendix 8B: Emerging market research – an example 314
CHAPTER 9 LIQUIDITY, ONLINE DEALING AND E-COMMERCE
9.1 Introduction 329
9.2 Foreign exchange liquidity: theory and reality 330
9.3 E-commerce 334
9.4 Custodian banks and eFX 345
Appendix 9A: Some service providers 347
CHAPTER 10 CONCLUSIONS AND AN OVERLAY CHECKLIST
10.1 Summary of the main arguments 353
10.2 A currency overlay checklist 356
Appendix A: Euro fixings 361
Appendix B: List of currencies 363
Bibliography 369
Index 387
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