Currency Overlay Portfolio Performance Benchmark Calculation

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Two portfolios with the same benchmark may give different mandates to the overlay portfolio managers. For example, when the mandate is based on the underlying assets, the return of the overlay performance benchmark will be different unless the underlying assets of two portfolios imply identical currency exposures. Consequently, the performance benchmark for a currency overlay portfolio must be calculated in accordance with the portfolio's mandates, unless the benchmark is the currency return on a published benchmark.