Publications and research papers

Lee Overlay Partners is actively involved in the area of Currency Overlay research and development. They have contributed to many publications, forums and discussions on Currency Overlay and are continuously researching Currency Overlay in-house.

This is a sample of our historical research papers. For an update list please contact us.

Capital Market Research

These articles and reports deal with many of the frequently discussed aspects of currency overlay management.

  • Active management in more than one asset and the role of correlations and provides a theoretical underpinning to the logic of currency overlay management specifically. More generally the paper also illustrates that the allocation of a portfolio to a suite of specialist managers rather than one generalist manager is optimal, largely irrespective of correlations.

  • A discussion on allocation rules and a recommended approach for use in currency overlay addresses the problems of allocating amongst alternative currencies in an active management process.

  • Options or forwards? It's all the same in the long run simplification of the decision to use options or forwards to hedge an unwanted currency exposure for investors with a long term horizon by illustrating that a sequence of option payoffs converge over time to a payoff that can be realised using forwards.

Lee Overlay Partners in the Press

  • The Strategic Exposure Decision
  • Currency Overlays aren't just for Stocks Anymore
  • Currency Manager warns Sponsors to look at Market Impact
  • Currency Overlay Winning Recognition among Plan Sponsors and Consultants

The Strategic Exposure Decision

A discussion on currency exposure in international investment
Publication: Investment & Pensions Europe
Date: September 2000
Author: Adrian F Lee

*Please note the copyright of this article belongs to Investment & Pensions Europe.

If you would like a reprint please contact us

Currency overlays aren't just for stocks anymore
Publication: Pensions & Investments

Date: May 1, 2000

If you would like a reprint please contact us

Currency manager warns sponsors to look at market impact

Publication: Pensions & Investments
Date: January 8, 2001

*Please note the copyright of both of these articles belongs to Crain Communications Incorporated.

If you would like a reprint please contact us

Currency Overlay Winning Recognition among Plan Sponsors and Consultants

Publication Pensions & Investments
Date January 8, 2001

*Please note the copyright of both of these articles belongs to Crain Communications Incorporated.

Economic Research

Global Economic Outlook
Our thoughts and expectations for the major global economies
This report will be updated monthly.

Published Materials

  • Diversification through International Money Markets
  • A Practitioner's view : The importance of separating bonds and currencies
  • Currency in International Investing
  • International Asset and Currency Allocation (Active Asset Allocation)
  • International Asset and Currency Allocation (Portfolio Management)
  • International Asset and Currency Allocation (Handbook of Investing)
  • Currency-Hedging Implementation Issues
  • Optimal Currency Hedging Strategies

International Investment and Currency

Diversification through International Money Markets - considering the benefits of such diversification on a currency-hedged basis
Book Title: Encyclopaedia of Investments
Chapter Page 899 to page 910
Author: Adrian F Lee

*Please note the copyright of this report belongs to Warren, Gorham & Lamont, Incorporated.

A Practitioner's view:  The importance of separating bonds and currencies

Book Title: International Bonds and Currencies
Journal November 19, 1985
Author:  Adrian F Lee

*Please note the copyright of this report belongs to Dow Jones-Irwin publishers.

Currency in International Investing - A framework for addressing currency

Book Title: Strategic Currency Investing
Chapter            8
Author: Adrian F Lee

*Please note the copyright of this report belongs to Probus Publishing company.

International Asset and Currency Allocation - The long run international asset allocation issues that confront US investors

Book Title: Active Asset Allocation
Chapter            16
Author: Adrian F Lee

*Please note the copyright of this report belongs to Probus Publishing company.

International Asset and Currency Allocation

Book Title: Journal of Portfolio Management
Journal Volume 14, Number 1
Author: Adrian F Lee

*Please note the copyright of this report belongs to Institutional Investor, Incorporated.

Download report

International Asset and Currency Allocation 

Book Title: Handbook of International Investing
Chapter 13
Author: Adrian F Lee

*Please note the copyright of this report belongs to Probus Publishing company.

Papers and Discussions on Currency Hedging

Currency-Hedging Implementation Issues  

The appropriate strategy adjustment for international investment managers whose normal currency exposure is hedged; the relative benefits of adding a currency overlay to both equity and fixed income portfolios; and the transaction costs and cash flows associated with currency hedging
Book Title: The Currency Hedging Debate
Chapter            10
Author: Adrian F Lee
*Please note the copyright of this report belongs to IFR Publishing Limited.

Optimal Currency Hedging Strategies  Discussion of the strategies available to investors in international fixed income markets, including the optimal construction of an asset portfolio, and a separate optimal currency portfolio

Book Title: Handbook of International Investing
Chapter            12
Author: Adrian F Lee

*Please note the copyright of this report belongs to Probus Publishing company.     

Special Reports

Case for Currency Overlay

Currency under management : "Fund manager scale; what impact to the client in increasingly illiquid Foreign Exchange markets?"

Minutes of the Consultants Round Table : The Impact of Currency on International Investment. Minutes from a round table discussion involving leading consultants in the UK pension industry and currency overlay managers. If you would like a copy of this report please contact us and we will make arrangements to send it to you.