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The state of currency investing

Publication Date: April 16, 2012

More investors are finding that active foreign exchange strategies might be better suited as a side rather than a main dish when serving up alpha, turning up the heat on currency managers to deliver added value, consultants and pension executives say.

Stories

Managers experiment with best forex recipe

Unconstrained investment strategies help to cope with potential for increased risk and need for alpha

Currency risk emerges as a major driver of returns

Inflation threat, other country-specific risk factors are short-term issues in strategies

Charts

Graphic: Currency index returns

Deutsche Bank currency excess return indexes.

Graphic: Currency spot volatility, EAFE & EM

Weighted currency spot return of the MSCI EM and EAFE indexes against the U.S. dollar, January 1997 to December 2011. Volatility is the 36-month annualized rolling volatility of currency spot return based on monthly observations.