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Bruno Solnik , Dennis McLeavey
Chapter 1 Foreign Exchange 1
Learning Outcomes 1
Foreign Exchange Quotations 3
Basic Principles and the Forex Quotation Convention 3
More on Quotation Conventions 4
Bid-Ask (Of4 Quotes and Spreads 5
Arbitrage 7
Cross-Rate Calculations with Bid-Ask Spreads 7
Bilateral Arbitrage 10
Triangular Arbitrage 12
Forward Quotes 14
Interest Rate Parity: The Forward Discount and the Interest Kate L)@rential 16
Summary 21
Problems 23
Solutions 25
Chapter 2 Foreign Exchange Par
Learning Outcomes 31
Foreign Exchange Fundamentals 33
Supply and Demand for Foreign Exchange 33
Balance of Payments 34
'ity Relations 31
. .
Current Account De@cits and Financial Account Surpluses 35
Factors That Cause a Nation S Currency to Appreciate or Dqbreciate 38
Government Policies: Monetary and Fiscal 40
Exchange Rate Regimes 42
International Parity Relations 44
Some Dejinitions 44
Interest Rate Parity 45
Purchasing Power Parity: The Exchange Rate and the Injlation Dqffential 46
International Fisher Relation: The Inlerest Rate and Expected Znjlation Rate Dfferentials 48
Uncovered Interest Rate Parity 50
Foreign Exchange Expectations: The Fornard Premium (Discount) and the Expected
Exchange Rate Movement 52
Combining the Relations 53
International Pam'ty Relations and Global Asset Management 55
Exchange Rate Determination 56
Purchasing Power Parity Revisited 56
Fundamental Value Based on Absolute PPP 59
Fundamental Value Based on Relative PPP 59
The Balance ofPayments Approach 62
The Asset Market Approach 70
Summary 77
Problems 79
Solutions 83
Bibliography 89
Chapter 3 Foreign Exchange Determination
and Forecasting 91
Learning Outcomes 91
International Monetary Arrangements 92
A Historical Perspective 92
The Empirical Evidence 100
Interest Rate Parity 100
Internatzonal Fisher Relation 100
Purchasing Power Parity 101
Foreign Exchange Expectations 105
Practical Implications 106
Exchange Rate Forecasting 107
Is the Market Efficient and Rational? 108
The Econometric Approach 11 I
Technical Analysis 112
Central Bank Intervention 11 4
The Use and Performance of Forecasts 115
Summary 119
Problems 119
Solutions 122
Bibliography 127
Chapter 3 Appendix: Statistical Supplements on
Forecasting and Asset Returns 130
Some Notations 130
Traditional Statistical Models with Constant Moments 131
Traditional Statistical Models with Time-Varying Moments 132
Nontraditional Models 134
Data Mining, Data Snooping, and Model Mining 136
xiv Contents
Chapter 4 International Asset Pricing 139
Learning Outcomes 139
International Market Efficiency 140
Asset-Pricing Theory 143
The Domestic Capital Asset-Pricing Model 143
Asset Returns and Exchange Rate Movements 146
The Domestic CAPMExtended to the Zntmnational Context 147
International CAPM 150
Market Imperfections and Segmentation 157
Practical Implications 158
A Global Approach to Equilibrium Pricing 158
Estimating Currency Exposures I61
Tests of the ICAPM 169
Summary 171
Problems 173
Solutions 177
Bibliography 181
Chapter 5 Equity: Markets and Instruments 185
Learning Outcomes 185
Market Differences: A Historical Perspective 186
Historical Differences in Market Organization 187
Historical Differences in Pading Procedures 188
Automation on the Major Stock Exchanges 189
Some Statistics 195
Market Size 195
Liquidity 197
Concentration 198
Some Practical Aspects 199
Tax Aspects 199
Stock Market Indexes 202
Information 205
Execution Costs 206
Components of Execution Costs 206
Estimation and Uses of Execution Costs 208
Some Approaches to Reducing Execution Costs 21 1
Investing in Foreign Shares Listed at Home 214
Global Shares and American Depositary Receipts 214
Closed-End Country Funds 21 1
Open-End Funds 221
Exchange Tradpd Funds 222
Summary 225
Problems 226
Solutions 230
Bibliography 234
Chapter 6 Equity: Concepts and Techniques 237
Learning Outcomes 237
Approaching International Analysis 238
The Injormation Problem 240
A Vision of the World 241
Differences in National Accounting Standards 242
Historical Setting 243
International Harmonization of Accounting Practices 244
Differences in Global Standards 247
The Eflects of Accounting Principles on Earnings and Stock Prices 254
The Information Content of International Dzfferences in GAAP 255
Global Industry Analysis 256
Country Analysis 256
Industry Analysis: Return Expectation Elements 262
Industry Analysis: Risk Elements 268
Global Industry Analysis in Practice: An Example 273
Equity Analysis 277
Global Risk Factors in Security Returns 292
Risk-Factor Model: Industry and Country Factors 292
Other Risk Factors: Styles 293
Other Risk Factors: Macroeconomic 294
Practical Use of Factor Models 296
Summary 296
Problems 297
Solutions 302
Bibliography 309
Chapter 7 Global Bond Investing 31 1
Learning Outcomes 31 1
The Global Bond Market 312
The Various Segments 31 2
World Market Size 31 4
Bond Indexes 315
The Eurobond Market 31 6
Emerging Markets and Brady Bonds 320
xvi Contents
Major Differences Among Bond Markets 323
Types of Instruments 323
Quotations, Day Count, and Frequency of Coupons 324
Legal and Fiscal Aspects 326
A Refresher on Bond Valuation 327
7mvCoupon Bonds 328
Bond with Coupons 330
Duration and Interest Rate Sensitivity 332
Credit Speads 334
Multicurrency Approach 335
Inte-rnational Yield Curve Comparisons 335
The Return and Risk on Foreign Bond Investments 338
Currency-Hedging Strategies 339
International Portfolio Strategies 340
Floating-Rate Notes and Structured Notes 344
Floating-Rate Notes (FRNs) 345
B u l l F ? 351
BearFRN 352
Dual-Currency Bonds 353
Currency-Option Bonds 356
Summary 359
Problems 361
Solutions 365
Bibliography 370
Chapter 8 Alternative Investments 371
Learning Outcomes 371
Investment Companies 373
Valuing Investment Company Shares 373
Fund Management Fees 374
Investment Strategies 374
Exchange Traded Funds 3 77
Real Estate 386
Forms of Real Estate Investment 387
Valuation Approaches 388
Real Estate in a Portfolio Context 396
Private Equity: Venture Capital 398
Stages of Venture Capital Investing 400
Investment Characteristics 401
Types ofLiquidation/Divestment 403
Valuation and Performance Measurement 404
Hedge Funds and Absolute Return Strategies 406
Contents xvii
Dejkition 409
Classfication 41 0
Funds of Funds 414
Leverage and Unique Risks of Hedge Fund~s 41 6
'1Xe Case for Hedge Funds 41 7
CA'aveats 421
Closely Held Co~llpaniesa nd Inactively 'kaded Securities 424
L p l Environment 424
Valuation Altmutives 424
Bases for l)iscounts/Pwniums 425
Distressed Securities/Bankruptcies 425
Cornrnodity Markets and Corrmlotlity Derivatives 426
Commodity Futures 428
Motivation and Investment Vehicle:, 428
Active lnvestmer~t 429
The Example of Gold 430
Commodity-Linked Securities 432
Surnrnary 433
Problenls 436
Solutions 441
Bibliography 447
Chapter 9 The Case for International Diversification 451
Learning Outcomes 45 1
The Traditional Case for Intel national Diversification 454
Kisk Reductzon 'IYrrough Attructzve Cotwlatzons 454
Portfolzo Return Perf07 man(e 464
Currency Kzsk Not a Barnm to Intmatzoud Inv~5tmrnt 471
The Case Against International Dive1 sification 472
Increme zn Correlutzons 4 73
Past Po jormance IJ a Good Indrcator of buture Pmformance 4 76
Burners to Int~natzonalIn vestments 477
The Case for International Diversification Kevisited 481
Prtjall~z n Estzmatrng Corielut~onL hrzng Volatzle l'erzods 481
Lxpanded Investment Unzve~wa nd Pr?f op inunte Opportunztzes 483
Global Investrng Kattm '1 l~anIn to natronul Uzvers~ztatzon 483
The Case for Enlergirlg Ma1 kets 486
The Ba~rc Case 486
Volatdzty, Correlatzon~a, nd Curwncy Kltk 488
PortJobo Return Perjormuncr 489
Investabzlzty of bmergng Markets 490
Jegmentatzon versus lntegratzon Issur 491
xviii Contents
Summary 491
Problems 493
Solutions 496
Bibliography 505
Chapter 10 Derivatives 507
Learning Outcomes 507
Forward and Futures 508
The Principles of a Forward and a Futures Contract 508
The Dzfferent Instruments 51 1
Forward and Futures Valuation 51 7
Use ofForward and Futures 522
Swaps 528
The Principles ofa Swap 528
The Different Instruments 529
Swaps Valuation 533
Use of Swaps 53 7
Options 542
Introduction to Options 542
The Dz;ffent Instruments 543
Option Valuation 546
Use of Options 549
Summary 555
Problems 556
Solutions 562
Bibliography 570
Chapter 11 Currency Risk M
Learning Outcomes 571
anagement 571
~ e d ~ iwnitgh Futures or Forward Currency Contracts 573
The Basic Approach: Hedging the Principal 5 73
Minimum-Variance Hedge Ratio 576
Optimal Hedge Ratio 580
Hedging Stratepes 582
Hedging Multiple Currencies 582
Insuring and Hedging with Options 584
Insuring with Options 584
Dynamic Hedging with Options 587
Hedging Strategies 589
Other Methods for Managing Currency Exposure 590
Currency Overlay 592
Summary 595
Contents xix
Problems 597
Solutions 602
Bibliography 61 3
Chapter 12 Global Performance Evaluation 61 5
Learning Outcomes 615
The Basics 61 6
Principles and Objectives 61 6
Calculating a Rate of Return 61 9
Performance Attribution in Global Performance Evaluation 626
The Mathematics of Multicurrency Returns 627
Total Return Decomposition 629
Performance Attribution 631
An Example of Output 634
More on Currency Management 636
From Quarterly to Multi-Year Performance 637
Performance Appraisal in Global Performance Evaluation 637
Risk 638
Risk-Adjusted Performance 639
Risk Allocation and Budgeting 642
Some Potential Biases in Return and Risk 644
Implementation 645
More on Global Benchmarks 646
Global Investment Performance Standards and Other Perfmance Presentation
Standards 648
Summary 650
Problems 651
Solutions 659
Bibliography 674
Chapter 13 Structuring the Global
Investment Process 677
Learning Outcomes 677
A Tour of the Global Investment Industry 679
Investors 6 79
Investment Managers 684
Brokers 685
Consultants and Advisers 686
Custodians 687
Global Investment Philosophies 688
The Passive Approach 688
The Active Approach 689
xx Contents
Balanced or Specialized 691
Industry or Country Approach 692
Top-Down or Bottom-Up 692
Style Management 693
Currency 694
Quantitative or Subjective 695
The Investment Policy Statement 695
Capital Market Expectations 698
Defining Asset Classes 698
Long-Term Capital Market Expectations: Historical Returns 699
Long-Term Capital Market Exprctations: Forward-Looking Returns 701
Short-Term Capital Market Expectations 705
Global Asset Allocation: From Strategic to Tactical 706
Strategic Asset Allocation 706
Tactical Asset Allocation 71 1
Global Asset Allocation: Structuring and Quantifying the Process 712
Research and Market Analysis 713
Asset Allocation Optimization 715
Portfolio Construction 71 7
Performance and Risk Control 71 8
Summary 719
John Bouderi: Case Study A 720
Leigh Brennan: Solution A 730
John Bouderi: Case Study B 731
Leigh Brennan: Solution B 735
Bibliography 736
Glossary 738
Index 751
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