Download or read book Currency Hedging in Low volatility Investing written by Radovan Studnik and published by . This book was released on 2014 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book To Hedge Or Not to Hedge written by Sanne De Boer and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We found that it is important to address currency risk to take full advantage of the benefits of minimum-volatility investing. In our backtest that extended back to 1979, we found that hedging currency risk would have led to a higher Sharpe ratio by decreasing risk while maintaining return at a similar level. In the absence of hedging, a minimum-volatility portfolio's currency risk creates a home bias and other distortions. Separating equity selection from currency risk built a portfolio that is low risk from a local-currency perspective. This local-currency portfolio historically delivered higher risk-adjusted returns which we attribute to better stock selection. We found this result to be consistent for multiple investor domiciles including the United States, Great Britain, Germany, Japan, and Australia. As a bonus, the hedged portfolio's return was also less correlated with the global equity market, making it a better portfolio diversifier. To our knowledge, despite extensive research published on low-volatility investing, currency-related issues have not yet been reported on.
Download or read book Mastering the Currency Market Forex Strategies for High and Low Volatility Markets written by Jay Norris and published by McGraw Hill Professional. This book was released on 2009-12-04 with total page 319 pages. Available in PDF, EPUB and Kindle. Book excerpt: Make Volatility and Risk Work for You with Forex Trading! “This book should be in every trader/investor’s library. As we come out of this depressed market . . . this book can be your companion, helping you avoid mistakes and enhance your trading/investment program.” —Bill M. Williams, author of Trading Chaos “Whether you’re just getting started trading the world’s most exciting financial market, or you’re looking to add to your trading edge, [the authors] have written an engaging book packed with powerful techniques that you can use right now.” —Rob Booker, trader, author, educator, and founder and host of TraderRadio.net The foreign exchange market is the largest trading market in the world, with average daily volume well into the trillions. Because the market is always characterized by high liquidity, forex traders benefit most from volatile markets—making it the ideal investment approach today and well into the future. Mastering the Currency Market is a comprehensive guide to currency and futures trading strategies and techniques for both highly volatile and nonvolatile markets. Putting to work their vast and highly diverse experience in forex trading, the authors explain how to take advantage of the many benefits of foreign exchange trading, including its low cost of entry afforded by margin, and the dynamic pricing by nature of the competitive marketplace. Mastering the Currency Market is divided into five sections covering: The basics of trading currencies Fundamental analysis of price valuation Technical analysis and trading charts Trading philosophy and psychological discipline Volatility and risk management With four decades of combined experience, the authors clearly communicate to you a trading method that will give you the confidence to both analyze markets and execute trades successfully, regardless of underlying market conditions. As 2008 introduced nightmare scenarios for investors around the world, it was Al Gaskill’s most productive period of his trading career. He used the same trading methods spelled out in this book. Apply the lessons inside and you’ll see profits rise during periods of high market volatility, and when the market slows down, you can downshift to countertrending methods. It’s a win-win investing method, and Mastering the Currency Market leads you through it every step of the way.
Download or read book Currency Hedging for International Portfolios written by Jochen M. Schmittmann and published by International Monetary Fund. This book was released on 2010-06-01 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines the benefits from hedging the currency exposure of international investments in single- and multi-country equity and bond portfolios from the perspectives of German, Japanese, British and American investors. Over the period 1975 to 2009, hedging of currency risk substantially reduced the volatility of foreign investments at a quarterly investment horizon. Contrary to previous studies, the paper finds that at longer investment horizons of up to five years the case for hedging for risk reduction purposes remained strong.In addition to its impact on risk, hedging affected returns in economically meaningful magnitudes in some cases.
Download or read book Some Like It Hedged written by Momtchil Pojarliev and published by CFA Institute Research Foundation. This book was released on 2018-11-07 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: Foreign currency exposure is a by-product of international investing. When obtaining global asset exposure, investors also obtain the embedded foreign currency exposure. Left unmanaged, this currency exposure acts like a buy-and-hold currency strategy, which receives little or no risk premium and adds unwanted volatility. In “Some Like It Hedged,” the author shows that the impact of foreign currency exposure on institutional portfolios depends significantly on the base currency of the investors and the specific composition of their portfolios. In general, investors whose base currency is negatively correlated with global equities, as are the US dollar and the Japanese yen, will reduce the volatility of their portfolios by fully hedging foreign currency exposure. In contrast, investors whose home currency is positively correlated with global equities, as is the Canadian dollar, will benefit from keeping some unhedged foreign currency exposure—in particular, exposure to the US dollar. Finally, investors with larger allocations to domestic assets will experience only small reductions in volatility from hedging. Pojarliev discusses a variety of options to address foreign currency exposures. Although there is no single best-practice solution for addressing foreign currency exposures, institutional investors have three main choices. Do nothing (i.e., maintain unhedged foreign currency exposure). Doing nothing is always the easiest option, but from a risk–return perspective, it could be the worst available choice. Currency has no long-term expected return because, although it is a risk exposure, it is not an economic asset. Hence, long-term currency returns are expected to be zero. Hedging should, therefore, have no long-term impact on the return and only affect the volatility. The volatility reduction from hedging can be redeployed more efficiently by increasing exposure to economic assets for which a risk premium exists. Hedge passively (i.e., maintain a constant hedge ratio).In general, hedging some of the foreign currency risk will decrease the volatility of the portfolio. The relationship between a specific hedge ratio and the decrease in volatility depends on the particular portfolio and, most importantly, on the base currency of the investor. Yet, passive hedging creates its own problems, including negative cash flow generation when foreign currencies are appreciating and detraction from returns because of hedging costs. Passive hedging might also introduce a major market-timing risk. If the base currency weakens after a passive policy is implemented, the investor will suffer substantial hedging losses when the forward currency hedging contracts settle. Hedge actively (i.e., vary the hedge ratio). One way to address the market-timing risk of implementing a passive hedging program is to actively time the hedging of the foreign currencies. An active hedging program seeks to reduce the risk of the foreign currency exposure but varies the hedge ratios for the various currencies based on market views to avoid negative cash flow and to generate positive returns. A successful active hedging program should both add to the return of the portfolio and lower the volatility, and it should outperform both an unhedged and a passive hedging benchmark. The best choice to address foreign currency exposure will differ from institution to institution, but it boils down to two fundamental factors. First, the optimal solution depends on the importance of risk versus return and the institution’s tolerance for negative cash flow. Second, investors must decide whether they believe that currency managers are able to achieve a positive information ratio over the long run after fees and, importantly, whether they will be able to identify these currency managers. Any currency policy will depend on the details of the specific portfolio—in particular, on the base currency of the investor and the size of the foreign currency exposure.
Download or read book Buy and Hedge written by Jay Pestrichelli and published by FT Press. This book was released on 2011-09-29 with total page 305 pages. Available in PDF, EPUB and Kindle. Book excerpt: If you're trying to build wealth, sharp market downturns are your worst enemy. And today, they're happening far more often: in the last 18 years, the S&P 500 has experienced sixteen violent market declines. Institutions and professional investors have mastered powerful hedging strategies for dramatically reducing the risks of market volatility. Now, you can do it, too--and you can't afford not to. In Buy and Hedge , two leading investment experts show how to apply hedging as part of a long-term program for growing and preserving your assets. CNBC Fast Money guest Jay Pestrichelli and seasoned financial industry veteran Wayne Ferbert show how to systematically protect yourself against violent downward moves while giving your portfolio maximum room to run in upward markets. The authors' techniques are easy to use, can be applied to most investment vehicles, and require surprisingly little "care and feeding" once implemented. You'll discover how to: · Take advantage of the hedge-building mechanisms built into low-cost index funds · Invest in your ideas with confidence, because you've hedged the downside · Systematically manage portfolios for risk as well as return · Master and apply the "5 Iron Rules of Buy & Hedge” · Use options to manage risk, not to create excess leverage · Generate more dividends · Effectively manage cash
Download or read book Dynamic Hedging written by Nassim Nicholas Taleb and published by John Wiley & Sons. This book was released on 1997-01-14 with total page 536 pages. Available in PDF, EPUB and Kindle. Book excerpt: Destined to become a market classic, Dynamic Hedging is the only practical reference in exotic options hedgingand arbitrage for professional traders and money managers Watch the professionals. From central banks to brokerages to multinationals, institutional investors are flocking to a new generation of exotic and complex options contracts and derivatives. But the promise of ever larger profits also creates the potential for catastrophic trading losses. Now more than ever, the key to trading derivatives lies in implementing preventive risk management techniques that plan for and avoid these appalling downturns. Unlike other books that offer risk management for corporate treasurers, Dynamic Hedging targets the real-world needs of professional traders and money managers. Written by a leading options trader and derivatives risk advisor to global banks and exchanges, this book provides a practical, real-world methodology for monitoring and managing all the risks associated with portfolio management. Nassim Nicholas Taleb is the founder of Empirica Capital LLC, a hedge fund operator, and a fellow at the Courant Institute of Mathematical Sciences of New York University. He has held a variety of senior derivative trading positions in New York and London and worked as an independent floor trader in Chicago. Dr. Taleb was inducted in February 2001 in the Derivatives Strategy Hall of Fame. He received an MBA from the Wharton School and a Ph.D. from University Paris-Dauphine.
Download or read book The Only Guide to a Winning Investment Strategy You ll Ever Need written by Larry E. Swedroe and published by Macmillan + ORM. This book was released on 2005-01-01 with total page 197 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investment professional Larry E. Swedroe describes the crucial difference between "active" and "passive" mutual funds, and tells you how you can win the investment game through long-term investments in such indexes as the S&P 500 instead of through the active buying and selling of stocks. A revised and updated edition of an investment classic, The Only Guide to a Winning Investment Strategy You'll Ever Need remains clear, understandable, and effective. This edition contains a new chapter comparing index funds, ETFs, and passive asset class funds, an expanded section on portfolio care and maintenance, the addition of Swedroe's 15 Rules of Prudent Investing, and much more. In clear language, Swedroe shows how the newer index mutual funds out-earn, out-perform, and out-compound the older funds, and how to select a balance "passive" portfolio for the long hail that will repay you many times over. This indispensable book also provides you with valuable information about: - The efficiency of markets today - The five factors that determine expected returns of a balanced equity and fixed income portfolio - Important facts about volatility, return, and risk - Six steps to building a diversified portfolio using Modern Portfolio Theory - Implementing the winning strategy - and more.
Download or read book Currency Hedging written by Roberto Obregon and published by . This book was released on 2017 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: Investing in foreign assets can improve the diversification profile of U.S. institutional investors, but this comes at the expense of introducing currency risk to a portfolio. Given that currency returns are volatile and difficult to predict, many investors consider implementing currency-hedging programs to reduce or eliminate the volatility that results from foreign currency exposures. This paper examines the prospect of hedging currency risk, evaluating the different methods used to established hedges and types of currency management overlay programs, as well as the historical risk, returns and costs of hedging developed market and emerging market currency exposures.Meketa Investment Group recommends investors evaluate their currency hedging decisions from a total portfolio perspective that incorporates portfolio-wide exposure, hedging costs, and volatility and return targets.
Download or read book The Currency Hedging Debate written by Lee R. Thomas and published by Ifr Publishing. This book was released on 1990 with total page 364 pages. Available in PDF, EPUB and Kindle. Book excerpt: This title provides a forum for the discussion surrounding the use of currency hedging for portfolio managment and examines the arguments for the different hedging techniques. The main arguments are outlined with contributions from both academics and practitioners. The evidence on the performance of various funds is examined in detail.
Download or read book A Tea Reader written by Katrina Avila Munichiello and published by Tuttle Publishing. This book was released on 2017-03-21 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: A Tea Reader contains a selection of stories that cover the spectrum of life. This anthology shares the ways that tea has changed lives through personal, intimate stories. Read of deep family moments, conquered heartbreak, and peace found in the face of loss. A Tea Reader includes stories from all types of tea people: people brought up in the tea tradition, those newly discovering it, classic writings from long-ago tea lovers and those making tea a career. Together these tales create a new image of a tea drinker. They show that tea is not simply something you drink, but it also provides quiet moments for making important decisions, a catalyst for conversation, and the energy we sometimes need to operate in our lives. The stories found in A Tea Reader cover the spectrum of life, such as the development of new friendships, beginning new careers, taking dream journeys, and essentially sharing the deep moments of life with friends and families. Whether you are a tea lover or not, here you will discover stories that speak to you and inspire you. Sit down, grab a cup, and read on.
Download or read book Smart Currency Hedging for Smart Beta Global Equities written by Sanne De Boer and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We investigate whether structurally hedging the currency risk of global equity products benefits long-term investors. Based on a 35 year back-test of 3 smart beta strategies from 6 currency perspectives, our answer is a qualified “yes”. Currency hedging was effective in reducing risk and generally improved medium to long-term Sharpe ratios, albeit at a small cost to average returns. It may not be the proverbial free lunch, but does appear a value meal from the risk-adjusted perspective that is most relevant in an asset allocation context. The most effective hedging strategy and the resultant benefits vary by investor domicile, the nature of the equity holdings, and over time. The benefits were strongest for defensive (low-volatility, non-cyclical) equity portfolios for investors from safe-haven currency zones, and least pronounced for cyclical equities held by investors using pro-cyclical currencies. Particularly since the Global Financial Crisis, being smart about how much of a portfolio's currency exposures to hedge has been the key to avoiding perverse impacts.
Download or read book TAIL RISK HEDGING Creating Robust Portfolios for Volatile Markets written by Vineer Bhansali and published by McGraw Hill Professional. This book was released on 2013-12-27 with total page 272 pages. Available in PDF, EPUB and Kindle. Book excerpt: "TAIL RISKS" originate from the failure of mean reversion and the idealized bell curve of asset returns, which assumes that highly probable outcomes occur near the center of the curve and that unlikely occurrences, good and bad, happen rarely, if at all, at either "tail" of the curve. Ever since the global financial crisis, protecting investments against these severe tail events has become a priority for investors and money managers, but it is something Vineer Bhansali and his team at PIMCO have been doing for over a decade. In one of the first comprehensive and rigorous books ever written on tail risk hedging, he lays out a systematic approach to protecting portfolios from, and potentially benefiting from, rare yet severe market outcomes. Tail Risk Hedging is built on the author's practical experience applying macroeconomic forecasting and quantitative modeling techniques across asset markets. Using empirical data and charts, he explains the consequences of diversification failure in tail events and how to manage portfolios when this happens. He provides an easy-to-use, yet rigorous framework for protecting investment portfolios against tail risk and using tail hedging to play offense. Tail Risk Hedging explores how to: Generate profits from volatility and illiquidity during tail-risk events in equity and credit markets Buy attractively priced tail hedges that add value to a portfolio and quantify basis risk Interpret the psychology of investors in option pricing and portfolio construction Customize explicit hedges for retirement investments Hedge risk factors such as duration risk and inflation risk Managing tail risk is today's most significant development in risk management, and this thorough guide helps you access every aspect of it. With the time-tested and mathematically rigorous strategies described here, including pieces of computer code, you get access to insights to help mitigate portfolio losses in significant downturns, create explosive liquidity while unhedged participants are forced to sell, and create more aggressive yet tail-risk-focused portfolios. The book also gives you a unique, higher level view of how tail risk is related to investing in alternatives, and of derivatives such as zerocost collars and variance swaps. Volatility and tail risks are here to stay, and so should your clients' wealth when you use Tail Risk Hedging for managing portfolios. PRAISE FOR TAIL RISK HEDGING: "Managing, mitigating, and even exploiting the risk of bad times are the most important concerns in investments. Bhansali puts tail risk hedging and tail risk management under a microscope--pricing, implementation, and showing how we can fine-tune our risk exposures, which are all crucial ways in how we can better weather our bad times." -- ANDREW ANG, Ann F. Kaplan Professor of Business at Columbia University "This book is critical and accessible reading for fiduciaries, financial consultants and investors interested in both theoretical foundations and practical considerations for how to frame hedging downside risk in portfolios. It is a tremendous resource for anyone involved in asset allocation today." -- CHRISTOPHER C. GECZY, Ph.D., Academic Director, Wharton Wealth Management Initiative and Adj. Associate Professor of Finance, The Wharton School "Bhansali's book demonstrates how tail risk hedging can work, be concretely implemented, and lead to higher returns so that it is possible to have your cake and eat it too! A must read for the savvy investor." -- DIDIER SORNETTE, Professor on the Chair of Entrepreneurial Risks, ETH Zurich
Download or read book Guide to Investment Strategy written by Peter Stanyer and published by John Wiley & Sons. This book was released on 2011-09-20 with total page 223 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first edition of The Economist Guide to Investment Strategy explained the fundamentals of investment risk, how to put together "keep-it-simple" investment strategies, and the need to guard against our own behavior leading to dreadful investment mistakes. The global crisis that erupted in 2008 exposed the flaws in many more complicated investment strategies. The second edition starts with a new section on financial fraud and how investors can help to protect themselves against this "hearty perennial." It also includes a new section on risk profiling and discusses the role of risk tolerance questionnaires. In Chapter 3 data are provided pointing to underperformance of equities between 1978 and 2008. Against this background, there is a new Chapter 4—"Which should we do: buy-and-hold or time markets?" Chapter 5, which discusses the design of short-term and long-term strategies, includes a new section—"How safe is cash?"—and the discussion of bond ladders is extended to reflect issues of bond selection in the light of corporate credit risk and the financial difficulties of some US municipal authorities. Part 2 has been updated extensively to reflect developments in the past four years and the impact of the financial crisis on credit instruments, hedge funds, private equity, and real estate. The book concludes with a new chapter on investing in art and collectibles. It explores the argument that art prices "float aimlessly," discusses financial investment in art, and provides some reasons for expecting that a portfolio of art might perform well in the future.
Download or read book FX Funding Risks and Exchange Rate Volatility Korea s Case written by Mr.Jack Ree and published by International Monetary Fund. This book was released on 2012-11-07 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper examines how exchange rate volatility and Korean banks’ foreign exchange liquidity mismatches interacted with each other during the Global Financial Crisis, and whether the vulnerability stemming from this interaction has been reduced since then. Structural and cyclical changes after the crisis, including decreasing demand for currency hedges and the diversifying investor base for bonds, point to a possible weakening of the interaction mechanism; and we find evidences are strongly supportive of this.
Download or read book Trading Volatility written by Colin Bennett and published by . This book was released on 2014-08-17 with total page 316 pages. Available in PDF, EPUB and Kindle. Book excerpt: This publication aims to fill the void between books providing an introduction to derivatives, and advanced books whose target audience are members of quantitative modelling community. In order to appeal to the widest audience, this publication tries to assume the least amount of prior knowledge. The content quickly moves onto more advanced subjects in order to concentrate on more practical and advanced topics. "A master piece to learn in a nutshell all the essentials about volatility with a practical and lively approach. A must read!" Carole Bernard, Equity Derivatives Specialist at Bloomberg "This book could be seen as the 'volatility bible'!" Markus-Alexander Flesch, Head of Sales & Marketing at Eurex "I highly recommend this book both for those new to the equity derivatives business, and for more advanced readers. The balance between theory and practice is struck At-The-Money" Paul Stephens, Head of Institutional Marketing at CBOE "One of the best resources out there for the volatility community" Paul Britton, CEO and Founder of Capstone Investment Advisors "Colin has managed to convey often complex derivative and volatility concepts with an admirable simplicity, a welcome change from the all-too-dense tomes one usually finds on the subject" Edmund Shing PhD, former Proprietary Trader at BNP Paribas "In a crowded space, Colin has supplied a useful and concise guide" Gary Delany, Director Europe at the Options Industry Council
Download or read book The Effects of Foreign Currency Hedging on Stock Volatility written by Betsy B. Sheffield and published by . This book was released on 2001 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
