OUR STRATEGIES | WILLIAM BLAIR ABSOLUTE RETURN CURRENCY STRATEGY

GLOBAL MACRO

William Blair Absolute Return Currency Strategy

Potential Alpha and Diversification

Active currency management is one of the most misunderstood and unrecognized components of investment management, offering significant potential alpha and diversification benefits.

KEY FEATURES AND POTENTIAL BENEFITS

Diversify Portfolios

Complements traditional portfolio allocations through an absolute return approach without exposure to traditional asset classes.

Manage Risks

Active currency capabilities added to a portfolio can improve efficiency through return enhancement and risk mitigation.

Seek Opportunities

Portfolio seeks to capitalize on fundamental value/price dislocation in global currencies through dynamic risk-capital allocation.

REVERSION TO FUNDAMENTAL VALUE
Half-Life of Price Reversion to Value (in Years)

Source: William Blair. Half-life reversion to value is shown based on a 40-year observation period ended April 2014.

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Glossary

INDICES
The Bloomberg Barclays U.S. Aggregate Bond Index is a broad-based benchmark that measures the investment grade, U.S. dollar-denominated, fixed-rate taxable bond market, including Treasuries, government-related and corporate securities, mortgage-backed securities (agency fixed-rate and hybrid ARM pass-throughs), asset-backed securities, and commercial mortgage backed securities.

The MSCI ACWI IMI Index is a free float-adjusted, market capitalization-weighted index that captures large, mid, and small cap representation across developed and emerging markets.

The MSCI ACWI ex-US IMI Index is a free float-adjusted, market capitalization-weighted index that captures large, mid, and small cap representation across developed and emerging markets, excluding the U.S. The Value and Growth Indices are a subset of the Index that adopt a framework for style segmentation in which value and growth securities are characterized using different attributes. Multiple factors are used to identify value and growth characteristics.

The MSCI ACWI Small Cap Index is a free float-adjusted, market capitalization-weighted index that captures small cap representation across developed and emerging markets.

The MSCI Emerging Markets Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of emerging markets.

The MSCI World Index is a free float-adjusted, market capitalization-weighted index that is designed to measure the equity market performance of developed markets.

The Russell 2000 Index is a market capitalization-weighted index designed to represent the small cap segment of the U.S. equity universe.

Index performance is for illustrative purposes only. The indices are unmanaged, do not incur fees or expenses, and cannot be invested in directly.

TERMS
Alpha is a measure of an investment's return in excess of the market's return, after both have been adjusted for risk.

Beta is a measure of the volatility of an investment relative to the overall market, represented by a comparable benchmark.

Half-life is a statistical measure of the time required for the discrepancy between price and value to contract by half of its starting value. Fundamental value estimates are based on the Dynamic Allocation Strategies team's proprietary research.

P/E Ratio is a measure of valuation which compares share price to earnings per share, calculated using estimates for the next twelve months.

Standard deviation is a statistical measurement of variations from the average.

QUANTITATIVE MODELS – FACTOR DEFINITIONS
The William Blair Earnings Trend Model captures information about short- and medium-term changes in analyst estimates in an attempt to anticipate future estimate changes and stock performance. The score combines measurements of earnings revisions, momentum, and earnings surprise.

The William Blair Valuation Model combines varying metrics used to characterize the relationship between the stock’s trading price and its intrinsic value. By going beyond using only one or two measures, the model attempts to build a more holistic version of a stock’s worth vis-a-vis the market. The score combines measurements of earnings/cash flow based, asset-based, and model-based factors.

FEATURED TOPICS

U.S. EQUITY

GLOBAL EQUITY

EMERGING MARKETS DEBT

U.S. FIXED INCOME

GLOBAL MACRO

William Blair Absolute Return Currency Strategy

Potential Alpha and Diversification

Diversify Portfolios

Manage Risks

Seek Opportunities

View All Our Strategies

Featured Blog Posts

A Clearer Path for Fundamental Navigation

Navigating Seismic Shifts

Reactions to the Reflation Trade

Looking For More Insights?

Create an
Enduring Partnership

FEATURED TOPICS

U.S. EQUITY

GLOBAL EQUITY

EMERGING MARKETS DEBT

U.S. FIXED INCOME

GLOBAL MACRO

William Blair Absolute Return Currency Strategy

Potential Alpha and Diversification

Diversify Portfolios

Manage Risks

Seek Opportunities

View All Our Strategies

Featured Blog Posts

A Clearer Path for Fundamental Navigation

Navigating Seismic Shifts

Reactions to the Reflation Trade

Looking For More Insights?

Create an Enduring Partnership

Privacy & Security

Cookie Policy

Our use of cookies

Additional Resources

Social Media Disclaimer

Glossary

Create an
Enduring Partnership