Expect the currency overlay manager to do on portfolio

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Reference no: EM131905430

An asset manager has a mandte to manage a european equity portfolio for a US pension client. The portfolio size is $100 million. The benchmark is come european equity index with a 50% currency hedging target, but the currency management is delegated to a currency overlay manager. The geographic breakdown of the portfolio Jan 1 is British 10 million pounds - $15 million US

Euro 20 million $23 million US

Swiss Stocks SFr 1.4 million $1 million

1) Assume that the currency overlay manager is neutral on currencies (that is, does not have specific forecasts on exchange rate). What would you expect the currency overlay manager to do on this portfolio?

2) Assume now that the currency overlay manager is bullish on the euro and pound but bearish on the Swiss franc (relative to the dollar). What kind of actions are you expecting from the currency overlay manager?

Reference no: EM131905430

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