Strategic currency hedging and global portfolio investments upside down

Walker, Eduardo

doi:10.1016/j.jbusres.2007.06.041

Cited by 34 publications

(24 citation statements)

References 44 publications

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“…The analysis of this paper can be extended in several ways. First, we can consider emerging market currencies jointly with developed market currencies, as Lustig and Verdelhan (2007) and Walker (2008) do. Second, we can allow for short‐term inflation risk that makes short‐term nominal assets risky in real terms.…”

Section: Discussionmentioning

confidence: 99%

Global Currency Hedging

Campbell¹,

Medeiros²,

Viceira

2010

The Journal of Finance

217

122

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Section: Discussionmentioning

confidence: 99%

Global Currency Hedging

Campbell¹,

Medeiros²,

Viceira

2010

The Journal of Finance

217

122

View full text Add to dashboard Cite

show abstract

“…The analysis of this paper can be extended in several ways. First, we can consider emerging market currencies jointly with developed market currencies, as Lustig and Verdelhan (2007) and Walker (2008) do. Second, we can allow for short-term inflation risk that makes short-term nominal assets risky in real terms.…”

Section: Discussionmentioning

confidence: 99%

Global Currency Hedging

Campbell¹,

Medeiros²,

Viceira³

2007

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Over the period 1975 to 2005, the U.S. dollar (particularly in relation to the Canadian dollar), the euro, and the Swiss franc (particularly in the second half of the period) moved against world equity markets. Thus, these currencies should be attractive to risk-minimizing global equity investors despite their low average returns. The risk-minimizing currency strategy for a global bond investor is close to a full currency hedge, with a modest long position in the U.S. dollar. There is little evidence that riskminimizing investors should adjust their currency positions in response to movements in interest differentials.1 An Internet Appendix for this article is online in the "Supplements and Datasets" section at http://www.afajof.org/supplements.asp.2 Risk management demands are more commonly called hedging demands, but this can create confusion in the context of foreign currency because hedging a foreign currency corresponds to taking a short position to cancel out an implicit long position in that currency. In this paper we use foreign currency terminology and avoid the use of the term hedging demand for assets.

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“…First, it is not the same investor who is comparing different alternatives, and we cannot compare welfare across countries. Second, foreign exchange risk and real interest rate risk are viewed differently in different countries (see for example Walker, 2006Walker, , 2007. Third, the very meaning of the Sharpe ratio is unclear when a riskless rate does not exist or when proxies for it are used.…”

Section: Limitations and Strengths Of Using Sharpe Ratiosmentioning

confidence: 99%

Pension Fund Performance

Antolín

2008

OECD Working Papers on Insurance and Private Pensions

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ABSTRACT/RÉSUMÉ Pension Fund PerformanceThis report provides an analysis of aggregate investment performance by country on a risk adjusted basis using relatively standard investment performance measures. The report also describes privately managed pension funds around the world and the regulatory environment they face. It compares pension funds across countries according to total assets under management and asset allocation, and briefly discusses certain issues surrounding the data reported by pension funds and regulators on investment returns. JEL codes: G11, G23, C80Keywords: Investment performance, pension funds, returns on investment, asset allocation, Sharpe ratio, Markowitz mean-variance portfolio maximization. ***** La Performance des Fonds de PensionsCe rapport fournit une analyse par pays des performances d'investissement ajustées en fonction du risque et en utilisant des mesures de performance standards. Le rapport décrit également les fonds de pensions privées dans le monde et les régulations auxquels les fonds doivent satisfaire. Il compare les fonds de pension par pays selon leurs actifs totaux et l'allocation de ceux-ci, et examine brièvement les problèmes avec les données rapportées par les fonds de pension et les régulateurs concernant le rendement des investissements. JEL codes: G11, G23, C80Mots clés: la performance des investissements, fonds de pensions, l'allocation des actives, Sharpe ratio, la maximisation du portefeuille Markowitz mean-variance.

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Strategic currency hedging and global portfolio investments upside down

Cited by 34 publications

References 44 publications

Global Currency Hedging

Global Currency Hedging

Global Currency Hedging

Pension Fund Performance

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