Currency Investing: A Risk Premium Approach | Hanlon Financial Systems Center

Currency Investing: A Risk Premium Approach

Currency Investing: A Risk Premium Approach

seminar date: 
Thursday, April 16, 2015 - 5:00pm
seminar location: 
BC122
Aysu Secmen, Citigroup, Inc.
Abstract: 

The asset allocation decision is one of the key decisions an investor has to make. In this presentation, we review the traditional asset allocation paradigm, where equity market risk overwhelmingly dominates in terms of contribution to portfolio risk. We then move on to describe an increasingly relevant paradigm for asset allocation, centered around the concept of risk premia. Finally, we focus our attention on the risk premium approach to currency investing and the ability of currencies to bring diversification to traditional portfolios. We present an extended back-test of currency risk premia, supporting the case for FX strategies as an independent source of robust long-term returns.

Bio: 

Aysu Secmen is a former director and North America head for the Citi Investment Strategies in the Multi-Asset Group. She was previously the global head of Quantitative Investor Solutions team in Citi Foreign Exchange, focusing specifically on the design of rule-based strategies in the FX space. Aysu joined Citigroup from Cooper-Neff Advisors/BNP Paribas, where she was a member of the quantitative equity research team. Prior to that, she worked at Koch Capital Markets in Houston, where she led the quantitative currency team. Aysu holds a BS in mathematics from Bogazici University and a PhD in mathematics from Texas A&M University.