Good readings on currency strategy

B

bchadwick

New member
Joined
Jun 18, 2026
Messages
0
Reaction score
0
Hi all,

I have an interview coming up in a week for a position related to currency strategy and quantitative currency models. I know the currency literature appropriate to L2 of the CFA curriculum, but I'd like to find materials (preferably online) to get me as up to speed and conversant as possible with the issues involved in modeling currencies and generating alpha from currency overlays. I don't necessarily need to know every intricacy; I just want to make sure that I don't miss any obviously important issues, so basic stuff will help, as well as any current research articles.

I've ordered Callum Henderson's book, Currency Strategy: A Practitioner's Guide to Currency Trading, Hedging and Forecasting, but I don't know if it will arrive before I have to travel, and it looks pretty dense.

I'd be most grateful for suggestions from any of the AF people who might know of relevant stuff or be involved in currency work.



Edited 1 time(s). Last edit at Sunday, July 1, 2007 at 01:07PM by bchadwick.
 
Hey man good luck with the interview! Just make sure that you understand all those parity relationships.
 
currencies are chalenging, for L1 schweser had some curre. ncy arbitrage questions that were in the qbank that were the hardest questions i cam accross in level one prep and much harder then real exam was. I would not want to be asked aboud zimbabwae's currency.
 
i dunno if it will help you in "generating alpha from currency overlays" but you can find a lot of decent currency strategy stuff on first call.
 
Well "generating alpha from currencies, implemented as an overlay strategy" is what the group does. I did the L2 exam and the study materials in Stalla had lots of questions where they said "The interest rate parity forward rate is X, but Desiree's proprietary model shows an expected spot rate of Y, compute exposures, expected profits, etc."...

So I'm trying to figure out what else goes into those proprietary models, how are they constructed, what they look like, what risks or assumptions go into them, etc.. I know that there's way too much to learn in a week, but even just some familiarity with what people try is helpful.

I'll look at first call, thanks stylemog.

smgardy... I remember the interest rate parity arbitrage was some of the hardest stuff at L1. It's the first place in the curriculum where you encounter arbitrage, and it is tougher in currencies because you have to keep track of the numerator and denominator currencies carefully - arbitrage based on other securities is usually a little easier, at least for the vanilla stuff. So yeah, when you hit it in L1, it's pretty tough stuff, if you've never seen an arbitrage before.



Edited 1 time(s). Last edit at Monday, July 2, 2007 at 10:59PM by bchadwick.
 
JoeyDVivre Wrote:
-------------------------------------------------------
> send me e-mail. where are interviewing?


Thanks Joey, I sent you some info.
 
What goes into the proprietary models? According to the level 3 material there are 4 strategies that speculators/traders use to allocate currency. I can't exactly remember the four but I'll try: ppp, savings/investment imbalance, relative economic strength and long term capital flows. So you could put together a proprietary model from that.
 
Joey, never heard back from you... did you get my email?
 
You must log in or register to reply here.
Back
Top