TUESDAY, MARCH 10TH, 2020: DAY ONE – ANTICIPATING AND MANAGING RISK
Tuesday, March 10th, 2020
Local currency is the fastest-growing asset class, with money going into local funds quadrupling in the last 5 years. But volatility in many local currencies can raise doubt about returns over 10 years. What’s the best advice that managers can give about their blending strategies? Who decides how it is blended, and how flexible is that decision?
•Use flexibility on currency to make better credit
•Devote the time, resources, and partnerships necessary to guide a 50/50 currency ratio
•Show how to hedge currency risk – and how much yield you would give up in the process
•Judge how weighted and dynamic strategies are
•Outline the process of moving local currency to new milestone levels
Emerging markets are often perceived to be a challenging sector in which to apply quantitative or systematic approaches. However as markets have become more open and mature, and data more consistently reported and accessible, there are some key ways in which the primary sources of “beta” risk premia within emerging markets can be systematically measured and evaluated. And there’s no one better at helping you measure these risks than GMO’s Head of Systematic Fixed Income and Currency Strategy, Riti Samanta, who has over 15 years of experience in managing beta investing, active quantitative credit, and currency investment strategies.
•Differentiate ability to pay vs. the willingness to pay
•Review currency market fair pricing models
•Visualize credit and rate premia as being consistently measured
•Understand systematic processes are necessary but not sufficient
•Pair considerations of liquidity, investor rights, and willingness to pay
•Discuss innovations in currency and EM rate markets allow for a range of liquid options
•Appreciate systematic portfolio construction methods and their role in risk management