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 Optimal Currency Hedging of International Bond Portfolios written by Flavio Addolorato and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 The Optimal Currency Composition of External Debt written by Stijn Claessens and published by World Bank Publications. This book was released on 1988 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: By choosing the appropriate currency composition of their external debts, developing countries can reduce the exposures associated with exchange rate, interest rate, and commodity price uncertainties.
Download or read book Optimal Currency Hedging for International Equity Portfolios written by Jacob Boudoukh and published by . This book was released on 2019 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt: We explore optimal currency exposures in international equity portfolios through the lens of a modified mean-variance optimization framework. We decompose the optimal currency portfolio into a “hedge portfolio” which minimizes equity volatility using a dynamic risk model and an “alpha seeking portfolio” based on the well-documented currency styles of value, momentum and carry. This is an integrated and economically intuitive approach to currency management that simultaneously provides lower risk and higher returns compared to both hedged and unhedged benchmarks. Crucially, the solution is practical with realistic and implementable leverage, turnover and tail risk characteristics.
Download or read book Optimal Currency Hedging of International Bond Potfolios written by Flavio Addolorato and published by . This book was released on 1994 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Internationally Diversified Bond Portfolios written by Richard M. Levich and published by . This book was released on 1993 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: A new statistical procedure is used to test for weak form efficiency in the foreign exchange futures markets. Using daily currency futures prices for the 1976-1990 period, we conclude that successive exchange rate changes have not been independent We examine the implications of this finding for two groups of investors: (1) return seeking investors considering foreign exchange as a separate asset class; (2) international portfolio investors deciding whether or not to currency hedge the foreign exchange rate exposures embedded in their non-dollar investments. Using the currency futures data and monthly data on 10-year dollar and non-dollar bonds, we conclude that active currency risk management, based on a simple application of technical trading signals, can substantially improve the risk-return opportunities for both groups of investors in comparison to passive currency strategies.
Download or read book Currency Hedging of International Bond Portfolios written by Lawrence Kryzanowski and published by . This book was released on 2018 with total page 60 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the influence of Quantitative Easing (QE) on hedging effectiveness and performance (E&P) of international bond portfolios. During the QE period, the bond portfolios have significantly lower excess returns and variances, and their excess return and variance sensitivities are positive and negative with the Fed's MBS holdings and are less positive and less negative with the Fed's Treasury holdings. E&P are higher for optimal versus full hedging during the QE versus pre-QE period and differ for portfolios from developed and emerging countries. Results are robust using other hedging E&P measures and excluding countries with their own QEs.
Download or read book Universal Currency Hedging for International Equity Portfolios Under Parameter Uncertainty written by Glen A. Larsen and published by . This book was released on 1997 with total page 38 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Algorithm for International Portfolio Selection and Optimal Currency Hedging written by Markus Rudolf and published by . This book was released on 1994 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book An Algorithm for International Portfolio Selection and Optimal Currency Hedging written by Markus Rudolf and published by . This book was released on 1998 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Effects of Currency Hedging on the Expected Return and Volatility of Global Bond Portfolios written by Conrad Kellogg Gann and published by . This book was released on 1992 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book International Currency Portfolios written by Michael Kumhof and published by . This book was released on 2009 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a theory of international currency portfolios that holds in general equilibrium, and that is therefore not subject to the criticisms directed at the portfolio balance literature of the 1980s. It shows that, under plausible assumptions about fiscal policy, the relationship between the rates of return of different currency bonds is not correctly described by an arbitrage relationship but instead also depends on outstanding bond stocks. Other findings are: (1) There is a monotonically increasing relationship between domestic interest rates and the portfolio share of domestic currency denominated assets. This relationship is steep at low levels of government debt, and almost flat at high levels of government debt. (2) Optimal private sector foreign currency positions are negative, and their size is decreasing in exchange rate volatility. Under volatile exchange rates large negative aggregate net foreign asset positions can only be rationalized by assuming large public sector borrowing from foreign governments. (3) For a baseline economy with zero net foreign assets, open market sales of domestic government debt lead to valuation gains (losses) when the country as a whole has a short (long) position in foreign currency. (4) A fiscal theory of exchange rate determination is compatible with general equilibrium in a two-country world. (5) Equilibria are determinate when both fiscal and monetary policy are passive.
Download or read book An Empirical Study of Portfolio Selection for Optimally Hedged Portfolios written by Christopher J. Adcock and published by . This book was released on 2016 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper reports a study into the performance of currency-hedged portfolios constructed using mean-variance optimization methods. The method is to carry out optimization relative to a benchmark portfolio, which consists of the real assets, and simultaneously to determine the optimal exposures to each currency future. This is done at various levels of risk along the efficient frontier. A study into a portfolio of international stock and bond indices viewed from a US Dollar perspective indicates that, for the period studied, optimal currency hedging has the potential to add value in terms of additional expected return and excess return on a risk-adjusted basis. The results also demonstrate the superiority of strategies in which the hedge ratio is optimally determined over those with a fixed hedge ratio.
Download or read book Some Like It Hedged written by Momtchil Pojarliev and published by . This book was released on 2018 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Covered Interest Parity Deviations Macrofinancial Determinants written by Mr.Eugenio M Cerutti and published by International Monetary Fund. This book was released on 2019-01-16 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: For about three decades until the Global Financial Crisis (GFC), Covered Interest Parity (CIP) appeared to hold quite closely—even as a broad macroeconomic relationship applying to daily or weekly data. Not only have CIP deviations significantly increased since the GFC, but potential macrofinancial drivers of the variation in CIP deviations have also become significant. The variation in CIP deviations seems to be associated with multiple factors, not only regulatory changes. Most of these do not display a uniform importance across currency pairs and time, and some are associated with possible temporary considerations (such as asynchronous monetary policy cycles).
Download or read book International Bond Portfolio Management written by Leonard Ingrams and published by . This book was released on 1989 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt:
