The past 12 months have been as awful for foreign exchange investing as we've seen in the past decade," grumbles Jeremy O'Friel, a partner at Dublin-based currency trader Appleton Capital Management. "Every time we thought a currency was ready to break out, it reversed course, stopping us out of our position."
Ever since mid-2004, in fact, when the euro began to weaken against the dollar, currencies have been trading sideways -- a situation that is anathema to forex traders, who make money when currencies trend up or down. The Barclay Group's currency traders index, which comprises 72 currency programs, was up a paltry 2.4 percent in 2004, and forex traders' difficulties carried over into this year's first quarter: The benchmark currency traders index was down 3.3 percent, trailing the Standard & Poor's 500 stock index by more than a percentage point.
Nonetheless, pension funds and other big investors are increasingly looking to currency trading as a source of hard-to-come-by alpha. "Currency management is more than a means to offset risk," contends Eric Busay, a California Public Employees' Retirement System portfolio manager who oversees international fixed-income and foreign exchange investments. "It's an opportunity -- with low execution costs -- to consistently enhance returns over the long run."
长期是关键。巴克莱指数在3月份的三年年度返回率为6.86％，将标准普尔500指数推入超过4个百分点。外汇索引的五年返回是年化的4.8％，以近8个百分点为准标准普尔500指数。
更重要的是，外汇计划通过股票的风险较少提供这些卓越的结果。Since Barclay Group began tracking currency traders in 1987, the forex index has had an average monthly standard deviation of 3.78, versus 4.46 for the S&P 500. During the past ten years, U.S. stocks outperformed currencies by roughly 5 percentage points a year, but at two and a half times the volatility.
As a diversification bonus for investors, currency returns do not jibe with those of stocks or bonds. Barclay says that since 1987 forex has shown virtually no correlation with the S&P 500, 0.08 with U.S. bonds and 0.13 with non-U.S. bonds.
"Institutional investors are constantly searching for new sources of uncorrelated alpha," points out Denis Bastin, director of the corporate and institutional banking practice at consulting firm Mercer Oliver Wyman in New York. "Currencies offer precisely that benefit." Bastin says that he has seen increased investment in forex as an asset class by his pension fund, foundation and endowment clients.
Mercer Investment Consulting in London reports that it assisted clients with $10 billion worth of currency-overlay mandates in 2004, compared with just $2.7 billion in 2003. Its search requests for currency specialists jumped from eight to 28 over the same time period.
As recently as a few years ago, currency overlay was predominantly a defensive strategy -- a way for investors and corporations to protect their foreign holdings against currency risk. But now, says Michael Sager, a portfolio manager at Putnam Investments' currency group, which has $35 billion in overlay programs, "clients are seeking to achieve additional returns without taking on substantial risk by enabling FX managers to act with more flexibility in their hedging." Currency specialists can throttle back on hedges when they think foreign currencies are trending up and increase hedges when the dollar looks poised to rally.
FX Concepts, a New Yorkbased currency consulting firm, seeks to control risk by staying within 3 percentage points of the foreign currency performance underlying the MSCI Europe, Australasia and Far East index over any 12-month rolling period.
CalPERS employs its own staff of currency specialists and external experts to hedge 25 percent of its $36 billion in foreign equities. "We manage 20 percent of that overlay internally, completely hedging $1.8 billion," notes Busay. The $7.2 billion balance is managed by two outside firms, Pareto Partners and State Street Global Investors.
在典型的安排生成alpha，卡波斯将帕珀尔酌情酌情撤销养老金的外国股权的任何或所有53亿美元。伦敦公司作为Calpers Forex Manager的12年，伦敦的公司已经耗费了14.6％的累计返回。一个完全羽毛的职位只会返回4.4％。因此，Pareto每年生产83个额外返回的额外返回，以上康佩人的标准对冲。（一个未成年的职位将比完全羽毛的一百倍更好地完成一点 - 因为美元在那段时间内损失了价值。）
CalPERS's investment committee has recommended easing hedging requirements for the fund's in-house managers so they can hunt (prudently) for alpha. Busay anticipates that within six months the fund will permit the managers to hedge as little as 20 percent to as much as 30 percent of their $1.8 billion foreign stock portfolio.
投资者是否正试图限制风险或enhance returns, they have two strategic options -- systematic or discretionary. A systematic strategy takes the historical approach, relying on computer programs that track prices and volatility to determine the optimal points for entering and exiting the forex market. A discretionary approach, by contrast, uses not only price-tracking technology but also fundamental analysis of macroeconomic and political developments to make, if need be, hairpin turns in currencies.
阿普尔顿是一个系统化的交易员那relying exclusively on technical models to time its trades. "We don't believe there's any rhyme or reason to why markets behave the way they do," declares portfolio manager O'Friel. "So, contrary to what most fund managers may say about their deftness in understanding markets, we are ultimately managing uncertainty by focusing strictly on price, listening to what the market is telling us."
Appleton的旗舰25％的风险计划通过3月3日的3月份的年度回报率为3年，5.6％。然而，今年的第一季度是该公司的艰难的，因为它是大多数货币贸易商：该计划的下降了3.7％，主要是它短期欧元。这将是更糟糕的，但对于3月份在长加元/日元职位上，Appleton的收益为9.4％。“这对在我们建立了一个职位之前，这对持续的波动性和有吸引力的价格行动，”o'Friel解释道。
纽约克拉德金钱经理Fischer Francis树木和瓦特的外汇首都Adnan Akant在380亿美元中，在涉及三个竞争力的货币市场中看到了一个拔河：美国的令人惊叹的当前账户和预算赤字;亚洲货币的潜在升值（阅读：中国人民币）;和美国利率与欧洲和亚洲利率之间的差距扩大。他估计，通过年终，美国联邦储备委员会的基准利率与欧洲中央银行之间的传播可能是2个百分点。
Akant最近一直在抵消美元和日元。“如果亚洲货币确实被重估，”他解释说：“这将取消欧元的压力很大。”他认为，市场可能会根据自己的优点来评估欧洲货币，而不是作为美元的替代品，他相信。尽管美元可能会削弱日元和人民币，但欧元可以贬低，欧元可以贬低亚洲货币和美元。当然，其他货币专家可能会翻转该分析 - 这就是制作市场的原因。
使用Alpha Seekers的新外汇产品是不资料的货币课程。“合格的投资者可以获得我们未资金的货币课程，多策略交换产品的曝光，而不致力于一角钱，”FX概念的客户服务和研究负责人Arun Muralidhar说。
"This product was designed for funds looking to generate cash without committing assets while limiting total downside risk," explains Muralidhar. He says FX Concepts, which has $12 billion in assets, has attracted $250 million to unfunded programs in the first year.
投资者不需要满足日常标志的市场负债，并可以获得定期的现金支付。预期的年度波动率介于12％至15％之间。Muralidhar说，该产品的资助版本在三年内已在三年内返回年度的18.3％。
Oil Group of Companies, a Bermuda-based energy industry insurer with $4.5 billion in assets, has $400 million in notional forex exposure, including an investment in one of FX Concept's unfunded currency programs; it has held the exposure since February 2003. (The insurer also has $600 million in unhedged foreign equities.) The program uses options writing to generate gains while cutting down on the number of negative-performing months.
Oil Group's CFO, Roger Paschke, says that he expects to add 1 to 1.5 percentage points of return from participating in the unfunded program. Last year Paschke's currency exposure yielded a 1.5 percent return.
“如果避免外国曝光[完全]，我不会建议机构采取外汇策略，”帕斯克克说。但对于冒险的机构，他补充说，“对货币的明智分配可能是一个好的，低风险的赌注。”